Journal articles: 'Hedga'

1

Asness, Clifford S., Robert J. Krail, and John M. Liew. "Do Hedge Funds Hedge?" Journal of Portfolio Management 28, no. 1 (October 31, 2001): 6–19. http://dx.doi.org/10.3905/jpm.2001.319819.

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Yuen, Janet. "Do Hedge Funds Hedge?" CFA Digest 32, no. 2 (May 2002): 5–6. http://dx.doi.org/10.2469/dig.v32.n2.1052.

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Ostrovsky, Katerina. "Do the Best Hedge Funds Hedge?" CFA Digest 41, no. 2 (May 2011): 6–7. http://dx.doi.org/10.2469/dig.v41.n2.17.

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4

Chang, Charles. "To Hedge or Not to Hedge." Cornell Hospitality Quarterly 50, no. 3 (July 28, 2009): 301–13. http://dx.doi.org/10.1177/1938965509333168.

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Titman, Sheridan, and Cristian Tiu. "Do the Best Hedge Funds Hedge?" Review of Financial Studies 24, no. 1 (October 18, 2010): 123–68. http://dx.doi.org/10.1093/rfs/hhq105.

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Butowsky, Michael R., and Michele L. Gibbons. "Hedge fund marketing by broker‐dealers questions and comments in response to recent developments." Journal of Investment Compliance 4, no. 3 (July 1, 2003): 7–12. http://dx.doi.org/10.1108/15285810310813158.

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This article discusses the implications of heightened regulatory attention to hedge funds by focusing on the practical questions that are on the minds of many in the hedge fund industry and, possibly, even in the thoughts of the regulators themselves. The primary regulatory condition relevant to the offer and sale of interests in hedge funds is the prohibition on general solicitation or general advertising by the sponsor of the hedge fund. Under NASD rules, brokers must (1) provide balanced disclosures in their promotional efforts; (2) perform reasonable‐basis suitability determinations; (3) perform customer‐specific suitability determinations; (4) supervise associated persons selling hedge funds and funds of hedge funds; and (5) train associated persons regarding the features, risks, and suitability of hedge funds and funds of hedge funds. Internal controls, including supervision and compliance, must include written procedures to ensure that sales of hedge funds and funds of hedge funds comply with all relevant NASD and SEC rules. Promotion of hedge funds must be balanced by a fair presentation of the risks and potential disadvantages of hedge fund investing

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Matos, Inês Serrano de. "Hedge Fund: the shareholder that never sleeps?" Boletim de Ciências Económicas 57, no. 2 (2014): 2211–48. http://dx.doi.org/10.14195/0870-4260_57-2_25.

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Moon Sub Choi, Paul, Won Young Chae, Joung Hwa Choi, and Young Bin Han. "Does insurance hedge macro volatility? Global evidence." Investment Management and Financial Innovations 14, no. 2 (August 7, 2017): 307–15. http://dx.doi.org/10.21511/imfi.14(2-2).2017.02.

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Insurance is known in the literature as a contribution to economic growth. In our cross-country analysis, we found out that insurance density also appears to subdue macro volatility. In other words, an overall expansion of insurance coverage in an economy cushions aggregate risks. This empirical inference remains robust to controlling for other covariates known to co-move with economic activities. Given that the contribution of insurance to economic growth is more impactful in developing countries than in industrialized economies, not only this result is appealing to economic intuition, but also extends the claims in the existing researches.

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Elam, Emmett, and James Davis. "Hedging Risk For Feeder Cattle With A Traditional Hedge Compared To A Ratio Hedge." Journal of Agricultural and Applied Economics 22, no. 2 (December 1990): 209–16. http://dx.doi.org/10.1017/s1074070800001954.

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Abstract This paper compares hedging risk for various weights of feeder cattle hedged with a traditional cross hedge and a ratio cross hedge. A traditional hedge calls for the purchase/sale of one pound of futures for each pound of cash feeder cattle. By contrast, a ratio hedge requires estimation of a hedge ratio to determine the number of pounds of futures needed to hedge one pound of cash feeder cattle. Hedge ratios were found to be larger than 1.0 for light-weight feeder cattle. By using the estimated hedge ratios, it was shown that hedging risk could be reduced 20-50 percent compared to that achieved by using a hedge ratio of 1.0.

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10

Pierce, Spencer. "Determinants and Consequences of Firms' Derivative Accounting Decisions." Journal of Financial Reporting 5, no. 1 (March 1, 2020): 81–114. http://dx.doi.org/10.2308/jfr-2019-0014.

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ABSTRACTFinancial accounting standards require derivatives to be recognized at fair value with changes in value recognized immediately in earnings. However, if specified criteria are met, firms may use an alternative accounting treatment, hedge accounting, which is intended to better represent the underlying economics of firms' derivative use. Using FAS 161 disclosures, I examine determinants of hedge accounting use and the effects of hedge accounting on financial reporting and capital markets. I find variation in firms' hedge accounting use and provide evidence that compliance costs of applying hedge accounting affect firms' decision to use hedge accounting. Firms decrease their reported earnings volatility via derivatives that receive hedge accounting and could further decrease their earnings volatility if hedge accounting were applied to all their derivatives. Inconsistent with arguments given for using hedge accounting, I fail to find a decrease in investors' assessments of firm risk from using hedge accounting.JEL Classifications: M40; M41; G32.

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Stulz, René M. "Hedge Funds: Past, Present, and Future." Journal of Economic Perspectives 21, no. 2 (April 1, 2007): 175–94. http://dx.doi.org/10.1257/jep.21.2.175.

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Assets managed by hedge funds have grown faster over the last ten years than assets managed by mutual funds. Hedge funds and mutual funds perform the same economic function, but hedge funds are largely unregulated while mutual funds are tightly regulated. This paper compares the organization, performance, and risks of hedge funds and mutual funds. It then examines whether one can expect increasing convergence between these two investment vehicles and concludes that the performance gap between hedge funds and mutual funds will narrow, that regulatory developments will limit the flexibility of hedge funds, and that hedge funds will become more institutionalized.

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Choi, Wan Seuk, and Joon H. Rhee. "An Empirical Study on the Factors Influencing on the Hedge Effectiveness of Korea Treasury Bond Futures." Journal of Derivatives and Quantitative Studies 25, no. 3 (August 31, 2017): 369–403. http://dx.doi.org/10.1108/jdqs-03-2017-b0003.

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This paper performs the empirical analysis on the factors affection the hedge effectiveness of Korea Treasury Bond (KTB) Futures by different hedge models. Before analyzing the factors, firstly, we compare the hedge effectiveness for benchmark bond portfolio among different hedge models. We find that KTB Futures' hedge effectiveness do not produce significant difference depending on the different models. Secondly, we test hedge effectiveness for the corporate bond. The results vary depending on the credit ranks. Below BBB rating, hedge effectiveness deteriorated significantly. This seems to be caused by the fact that BBB rated bond is more prone to be affected by credit risk rather than interest rate risk. Thirdly, hedge effectiveness analysis for the maturity term mismatch, KTB Futures has performed poorly as underlying bond maturity mismatching with Futures. Finally, different yield curve shape, Futures price undervaluation or time to maturity of Futures do not produce significant effect for the hedge effectiveness. In summary hedge effectiveness of KTB Futures (3 Year, 10 Year) seems to be dominantly affected by the 1) underlying hedging bond credit rating and 2) hedge term mismatch. Other factors such as yield curve shape, undervaluation of Futures and time to maturity of Futures has limited contribution under our research.

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13

Franke, Günter. "Geschäfts- und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?" Perspektiven der Wirtschaftspolitik 1, no. 3 (August 2000): 301–18. http://dx.doi.org/10.1111/1468-2516.00019.

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Abstract Hedge funds are characterized by short-term investments in over- or undervalued financial instruments. Their policy is highly dynamic as opposed to the more long-term investments of mutual funds. On average, the risk taken by hedge funds appears to be higher than that taken by mutual funds, although quite risky mutual funds also exist. Banks sometimes take large default risks, as evidenced by various banking crises. Also banks trade heavily on the term structure of interest rates. Hence, in these respects it appears that banks take risks that are at least as high as hedge funds. In short-term proprietary trading, banks and hedge funds face similar challenges. Overall, hedge funds cannot be regarded as more dangerous than banks. Since hedge funds trade with professional investors and banks, there is little reason to protect these counterparties by special regulation. Moreover, most hedge funds are rather small players and do not seem to act in herds. Therefore, the probability of systemic risks created by hedge funds appears to be very low. As a consequence, market control of hedge funds supported by more transparency appears to be preferable to specific hedge fund regulation.

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14

Li, Qing, Yanli Zhou, Xinquan Zhao, and Xiangyu Ge. "Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect." Mathematical Problems in Engineering 2016 (2016): 1–8. http://dx.doi.org/10.1155/2016/6817483.

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Many researchers have established various hedge models to get the optimal hedge ratio. However, most of the hedge models only discuss the discrete-time processes. In this paper, we construct the minimum variance model for the estimation of the optimal hedge ratio based on the stochastic differential equation. At the same time, also by considering memory effects, we establish the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio. In addition, we carry on the empirical analysis to examine the effectiveness of our proposed hedge models from both in-sample test and out-of-sample test.

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15

Zheng, Yao, and Eric Osmer. "The Relationship between Hedge Fund Performance and Stock Market Sentiment." Review of Pacific Basin Financial Markets and Policies 21, no. 03 (September 2018): 1850016. http://dx.doi.org/10.1142/s0219091518500169.

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We examine the dynamic effect of aggregate stock market sentiment on the performance of various hedge fund styles. We find that hedge funds typically perform better during periods of optimistic sentiment and that for different hedge fund styles there is a differential response of hedge fund returns to positive and negative sentiment shocks. We also find that changes in aggregate investor sentiment have a larger effect on hedge fund performance during periods of high conditional volatility. Our results suggest there is a strong asymmetry in the relationship between hedge fund performance and investor sentiment.

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Muhtaseb, Majed R. "A hedge fund collapse and diversification 101: lessons to stakeholders." Journal of Financial Crime 28, no. 3 (April 6, 2021): 774–83. http://dx.doi.org/10.1108/jfc-09-2020-0198.

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Purpose The purpose of this paper is events and analysis of present a hedge fund collapse, offer lessons to investors and hedge fund industry stakeholders and propose a possible remedy for mitigating operational risks and associated potential losses. Design/methodology/approach This study focused on one hedge fund case study and conducted a thorough investigation of the events that led to the collapse and eventual filing of the Securities and Exchange Commission (SEC) complaint. All articles and publications used for this research are available in the public domain and accessible. Findings Wood River Capital Management had concentrated the portfolios of its two hedge funds into one stock, EndWave Corp. Fund Manager violated terms of offering memorandum. Investors were not made aware of and did not discover the operational risks. Stock price of EndWave plummeted. There was no independent oversight over the funds. The values of the two funds dropped significantly. Investors attempted to redeem but the funds were not liquid. The SEC filed a complaint. Mr Whittier was sentenced for three years in jail. Research limitations/implications It is an analysis of US-based hedge fund, not an empirical paper. The article presents critical analysis and offers many valuable lessons to hedge fund industry stakeholders. Practical implications This paper helps investors in terms of identifying a hedge fund’s operational risks and conducting more effective due diligence while vetting a hedge fund. This could potentially save investors and constituents billions of dollars, by avoiding potential hedge fund collapses. This paper suggests that the scope of fiduciary duty be expanded to cover hedge fund industry vendors. Originality/value Thorough research of a hedge fund that collapsed because of poor investment decisions, not self-enrichment at expense of fund investors. This paper provides lessons to investors in terms of identifying a hedge fund’s critical operational risks and conducting value preserving due diligence. This could potentially save hedge funds investors billions of dollars, by avoiding potential hedge fund collapses. This paper recommends that the scope of fiduciary duty be expanded to cover hedge fund industry vendors.

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17

Chen, Jiaming. "Can Gold Hedge Stock Market and Inflation Simultaneously?" International Journal of Economics and Finance 12, no. 4 (March 5, 2020): 1. http://dx.doi.org/10.5539/ijef.v12n4p1.

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The hedging property of gold against single asset has been greatly demonstrated in literature. Gold-stock hedge suggests gold as ‘safe haven’ for stock market. Unlike gold-stock hedge which requires zero or negative correlation between their returns, gold-inflation hedge refers to the positive co-movement or ’peg’ between gold return and inflation. Thus, this is the first paper to address whether gold can hedge stock market and inflation simultaneously since stock market boom often comes with moderate inflation which creates puzzle in gold price dynamics and its hedging property. In this paper, we assume that an investor creates optimal portfolios from stock and gold. The weights assigned to gold are interpreted as hedge coefficient towards the stock market. We ask if the hedge coefficient also moves in tandem with inflation or other functions of inflation. When regressing the hedge coefficient on inflation or functions of inflation, the slope will be positive if the gold first used to hedge the stock market can also hedge inflation. We find that is not the case: the coefficient is not positive in statistics. This result implies that gold fails to hedge both stock market and inflation simultaneously over time.

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18

Silveira, Rodrigo Lanna Franco da, and Joaquim Bento de Souza Ferreira Filho. "Análise das operações de cross hedge do bezerro e do hedge do boi gordo no mercado futuro da BM&F." Revista de Economia e Sociologia Rural 41, no. 4 (2003): 881–99. http://dx.doi.org/10.1590/s0103-20032003000400008.

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O estudo visa analisar as operações de cross hedge do bezerro na Bolsa de Mercadorias & Futuros (BM&F) com o intuito de avaliar a real necessidade da existência de contratos futuros para este animal. Para tanto, foram calculados o risco de base destas operações, as razões de hedge ótimas e as efetividades nas principais praças de comercialização de gado bovino do país entre setembro de 1995 e fevereiro de 2001. As mesmas análises foram realizadas para o hedge do boi gordo. A razão de hedge ótima se mostrou elevada no cross hedge (entre 37% e 49%) e no own hedge (entre 58% e 63%). Quanto à efetividade, constatou-se que no caso do own hedge, o risco de preço pode ser reduzido em cerca de 50% com a tomada de posição em contratos futuros na proporção de hedge ótima. No entanto, para o cross hedge, a efetividade foi bastante baixa - cerca de 1,5%. Isso se deve ao alto risco de base destas operações, aproximadamente 80% superior ao risco associado ao hedge do boi gordo nas semanas de vencimento dos contratos considerados neste período. Dessa forma, os resultados demonstram o acerto da BM&F quanto ao recente lançamento do contrato de bezerro.

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Cao, Charles, Bradley A. Goldie, Bing Liang, and Lubomir Petrasek. "What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy." Journal of Financial and Quantitative Analysis 51, no. 3 (June 2016): 929–57. http://dx.doi.org/10.1017/s0022109016000387.

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AbstractTo understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk.

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Agarwal, Vikas, Nicole M. Boyson, and Narayan Y. Naik. "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds." Journal of Financial and Quantitative Analysis 44, no. 2 (April 2009): 273–305. http://dx.doi.org/10.1017/s0022109009090188.

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AbstractRecently, there has been rapid growth in the assets managed by “hedged mutual funds”—mutual funds mimicking hedge fund strategies. We examine the performance of these funds relative to hedge funds and traditional mutual funds. Despite using similar trading strategies, hedged mutual funds underperform hedge funds. We attribute this finding to hedge funds’ lighter regulation and better incentives. Conversely, hedged mutual funds outperform traditional mutual funds. Notably, this superior performance is driven by managers with experience implementing hedge fund strategies. Our findings have implications for investors seeking hedge-fund-like payoffs at a lower cost and within the comfort of a regulated environment.

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Lechner, G., and B. Fauster. "Relationship between mutual funds and hedge funds performance in different periods." Finance, Markets and Valuation 4, no. 1 (2018): 1–14. http://dx.doi.org/10.46503/qluv5221.

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The hedge fund literature has already shown that hedge funds and mutual funds follow a different strategy. One result of the literature was that mutual funds herd into or out of stocks following the herd of hedge funds one quarter later. The aim of this paper is to find out whether herding behavior of mutual funds have changed after the financial crisis. Our paper compares mutual funds and equity hedge funds in general (not only large hedge funds). The hypothesis is that mutual funds are not herding to equity hedge funds as strong as before the crisis. We use OLS regressions and correlation analysis to test the aforementioned hypothesis. We found that the monthly returns of hedge funds and mutual funds have synchronized in developed markets after the financial crisis. Therefore, the argument that mutual funds herd hedge funds is at least not as strong as before. The improving effectiveness and price informativeness could be an explanation for this changing environment.

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Jayaraman, Arjun, MacDuff Kuhnert, Joseph Gubler, and Ryan Myers. "To Hedge or Not to Hedge: Factor Dependence and Skill among Hedge Funds." Journal of Alternative Investments 20, no. 1 (June 30, 2017): 43–60. http://dx.doi.org/10.3905/jai.2017.20.1.043.

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El Kalak, Izidin, Alcino Azevedo, and Robert Hudson. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics." International Review of Financial Analysis 48 (December 2016): 85–97. http://dx.doi.org/10.1016/j.irfa.2016.09.008.

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Moura, Geovanne Dias de, and Roberto Carlos Klann. "COMPETITIVIDADE DE MERCADO, HEDGE E HEDGE ACCOUNTING: UM ESTUDO SOB A ÓTICA CONTINGENCIAL." Revista de Contabilidade da UFBA 10, no. 3 (November 29, 2016): 63. http://dx.doi.org/10.9771/rc-ufba.v10i3.16700.

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O estudo objetivou analisar a relação existente entre competitividade de mercado, utilização e contabilização de hedge em empresas listadas na BM&FBovespa, sob a ótica da Teoria da Contingência. Para tal, realizou-se pesquisa descritiva e quantitativa em uma amostra composta por 182 companhias abertas participantes dos níveis diferenciados de governança corporativa, com dados obtidos por meio das notas explicativas, relatórios da administração e do banco de dados Economática, referentes ao ano de 2011. Os resultados revelaram a existência de oligopólios nos setores de materiais básicos, petróleo, gás e biocombustíveis, tecnologia da informação e utilidade pública e uma estrutura de alta competitividade nos setores de bens industriais, construção e transporte, consumo cíclico, consumo não cíclico e financeiro. Percebeu-se que aproximadamente 60% das companhias da amostra possuíam no mínimo um tipo de hedge, sendo que 70 dentre as 182 analisadas possuíam hedge de fluxo de caixa, 62 hedge de valor justo e apenas 11 possuíam hedge de investimento líquido no exterior. Verificou-se ainda que apenas 36, ou seja, aproximadamente 20% dessas empresas utilizavam a metodologia de hedge accounting, sendo que os setores econômicos de bens industriais e de materiais básicos se destacaram, assim como se destacaram também pela utilização de hedge. Por fim, os resultados evidenciaram relação estatisticamente significativa entre competitividade e uso do hedge e uma relação não significativa entre competitividade e hedge accounting. Assim, concluiu-se que a competitividade pode ser considerada um fator contingencial que influencia na utilização de hedge, mas, não pode ser considerada um fator contingencial que influencia à contabilidade de hedge.

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Dinh, Tami, and Barbara Seitz. "The Information Content of Hedge Accounting—Evidence from the European Banking Industry." Journal of International Accounting Research 19, no. 2 (April 15, 2020): 91–115. http://dx.doi.org/10.2308/jiar-18-045.

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ABSTRACT This paper provides an in-depth analysis of financial information related to hedge accounting in European banks from 2005 to 2014. We show that both “as-if” earnings and “as-if” book values excluding the effects of hedge accounting are less value relevant than reported figures. This indicates that hedge accounting information is valued by the market. Further, we develop a proxy to measure whether hedge accounting is economically favorable. Only if the effects of a bank's hedge accounting are economically favorable, hedge accounting disclosures are positively associated with market values. We find cross-sectional differences when adopting hedge accounting for subsample analyses of European regions. In addition, distinguishing between troubled and non-troubled banks, the results only hold for the latter category suggesting that troubled banks suffer from biased accounting information. Our results are important for standard setters and banks when seeking to understand the capital market effects of hedge accounting and their disclosures. JEL Classifications: G21; G28; M41. Data Availability: Data are available from the public sources cited in the text.

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Li, Haitao, Xiaoyan Zhang, and Rui Zhao. "Investing in Talents: Manager Characteristics and Hedge Fund Performances." Journal of Financial and Quantitative Analysis 46, no. 1 (November 22, 2010): 59–82. http://dx.doi.org/10.1017/s0022109010000748.

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AbstractUsing a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact of manager characteristics, such as education and career concern, on hedge fund performances. We document differential ability among hedge fund managers in either generating risk-adjusted returns or running hedge funds as a business. In particular, we find that managers from higher-SAT (Scholastic Aptitude Test) undergraduate institutions tend to have higher raw and risk-adjusted returns, more inflows, and take fewer risks. Unlike mutual funds, we find a rather symmetric relation between hedge fund flows and past performance, and that hedge fund flows do not have a significant negative impact on future performance.

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Lee, Cheng-Few, Kehluh Wang, and Yan Long Chen. "Hedging and Optimal Hedge Ratios for International Index Futures Markets." Review of Pacific Basin Financial Markets and Policies 12, no. 04 (December 2009): 593–610. http://dx.doi.org/10.1142/s0219091509001769.

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This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index Futures, S&P 500 Stock Index Futures, Nikkei 225 Stock Index Futures, Hang Seng Index Futures, Singapore Straits Times Index Futures, and Korean KOSPI 200 Index Futures. The effectiveness of these ratios is also evaluated. The results indicate that the methods of conducting optimal hedging in different markets are not identical. However, the empirical results confirm that stock index futures are effective direct hedging instruments, regardless of hedging schemes or hedging horizons.

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Černý, Michal, and Jan Pelikán. "A note on imperfect hedging: a method for testing stability of the hedge ratio." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 60, no. 2 (2012): 45–50. http://dx.doi.org/10.11118/actaun201260020045.

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Companies producing, processing and consuming commodities in the production process often hedge their commodity expositions using derivative strategies based on different, highly correlated underlying commodities. Once the open position in a commodity is hedged using a derivative position with another underlying commodity, the appropriate hedge ratio must be determined in order the hedge relationship be as effective as possible. However, it is questionable whether the hedge ratio determined at the inception of the risk management strategy remains stable over the whole period for which the hedging strategy exists. Usually it is assumed that in the short run, the relationship (say, correlation) between the two commodities remains stable, while in the long run it may vary. We propose a method, based on statistical theory of stability, for on-line detection whether market movements of prices of the commodities involved in the hedge relationship indicate that the hedge ratio may have been subject to a recent change. The change in the hedge ratio decreases the effectiveness of the original hedge relationship and creates a new open position. The method proposed should inform the risk manager that it could be reasonable to adjust the derivative strategy in a way reflecting the market conditions after the change in the hedge ratio.

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Shafer, Yvonne, and Henrik Ibsen. "Hedda Gabler." Theatre Journal 44, no. 1 (March 1992): 107. http://dx.doi.org/10.2307/3208527.

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Gerland, Oliver, and Henrik Ibsen. "Hedda Gabler." Theatre Journal 44, no. 2 (May 1992): 233. http://dx.doi.org/10.2307/3208746.

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31

Agarwal, Vikas, and Narayan Y. Naik. "Hedge Funds." Foundations and Trends® in Finance 1, no. 2 (2005): 103–69. http://dx.doi.org/10.1561/0500000002.

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Yago, Glenn, Lalita Ramesh, and Noah E. Hochman. "Hedge Funds." Journal of Alternative Investments 2, no. 1 (June 30, 1999): 43–56. http://dx.doi.org/10.3905/jai.1999.318914.

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Yago, Glenn, and Lalita Ramesh. "Hedge Funds." Journal of Alternative Investments 2, no. 2 (September 30, 1999): 69–76. http://dx.doi.org/10.3905/jai.1999.318942.

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Caslin, J. J. "Hedge Funds." British Actuarial Journal 10, no. 3 (August 1, 2004): 441–521. http://dx.doi.org/10.1017/s1357321700002671.

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ABSTRACTThe paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. One of the key characteristics of such a hedge fund is that it has a low correlation with the balanced managed fund. The paper puts forward a new way of explaining correlation so that it can be more readily understood, and suggests methods of analysis for dealing with the fact that correlation is unstable. Volatility correlation is also examined because of its importance in reducing the risk of a portfolio.An outline of the characteristics and risks of three types of hedge funds, namely, long/short equity, convertible arbitrage and merger arbitrage, together with some questions investors might put to prospective hedge fund managers is given in Section 5.Some of the very basic statistical analysis techniques used in assessing the past performance of hedge funds are given in Section 6. Considerable emphasis is put on the need to examine daily return data as an insight into the quality of the manager's IT systems, his risk management, evidence of smoothing of returns, and to gain access to a higher number of data points for assessing the repeatability of performance.An entire section of the paper is devoted to gaining a clear understanding of a prospective hedge fund manager's volatility management strategy because of its importance in the context of the fee structure of hedge funds and its importance for assessing the ability of a hedge fund to reduce the risk and increase the returns of a balanced managed fund.Funds of hedge funds are examined in the final section, and the section concludes that large sophisticated institutional investors may wish to create a portfolio of hedge funds rather than invest in a fund of hedge funds.

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35

NAIDU, VAYU. "The hedge." Critical Quarterly 33, no. 4 (December 1991): 34–38. http://dx.doi.org/10.1111/j.1467-8705.1991.tb00977.x.

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Morgan, Jamie. "Hedge funds." Critical perspectives on international business 9, no. 4 (October 21, 2013): 377–97. http://dx.doi.org/10.1108/cpoib-06-2013-0020.

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Campbell, Steve. "Hedge figures." New Scientist 193, no. 2594 (March 2007): 23. http://dx.doi.org/10.1016/s0262-4079(07)60602-2.

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Zask, Ezra. "Hedge Funds." Journal of Alternative Investments 3, no. 3 (December 31, 2000): 33–42. http://dx.doi.org/10.3905/jai.2000.318964.

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Zask, Ezra. "Hedge Funds." Journal of Alternative Investments 3, no. 3 (December 31, 2000): 43–46. http://dx.doi.org/10.3905/jai.2000.318965.

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Könberg, Magnus, and Martin Lindberg. "Hedge Funds." Journal of Alternative Investments 4, no. 1 (June 30, 2001): 21–31. http://dx.doi.org/10.3905/jai.2001.318999.

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Giraud, Jean René, James R. Hedges, and Ted Wright. "Hedge Funds." Journal of Alternative Investments 4, no. 3 (December 31, 2001): 27–37. http://dx.doi.org/10.3905/jai.2001.319018.

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Gregoriou, Greg N. "Hedge Funds." Journal of Alternative Investments 5, no. 2 (September 30, 2002): 97–98. http://dx.doi.org/10.3905/jai.2002.319058.

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Terhune, Hannah M. "Hedge Funds." Wilmott 2013, no. 63 (January 2013): 8–11. http://dx.doi.org/10.1002/wilm.10178.

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Sialm, Clemens, Zheng Sun, and Lu Zheng. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds." Review of Financial Studies 33, no. 10 (December 23, 2019): 4771–810. http://dx.doi.org/10.1093/rfs/hhz138.

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Abstract Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.

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Lopes, Alexsandro Broedel, and Nelson Seixas dos Santos. "A administração do lucro contábil e os critérios para determinação da eficácia do hedge accounting: utilização da correlação simples dentro do arcabouço do sfas nº 133." Revista Contabilidade & Finanças 14, no. 31 (April 2003): 16–25. http://dx.doi.org/10.1590/s1519-70772003000100002.

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O hedge accounting constitui inovação relevante introduzida pelo SFAS 133. Dentro desse critério, operações designadas como hedge deverão ter seus resultados diferidos para o momento no qual os itens sendo protegidos forem reconhecidos. Problema central nessa contabilização é a determinação do quê constitui uma operação de hedge. Os órgãos reguladores analisados neste trabalho apresentam critérios ad hoc para a determinação da eficácia das operações de hedge. Esses critérios não possuem propriedades estatísticas de previsão do comportamento dos ativos no futuro, condição necessária para o sucesso do hedge. Esse tipo de qualificação de hedge introduz enorme subjetividade no processo de reconhecimento contábil, fornecendo ampla margem para manipulação dos resultados. Este trabalho analisa e critica a opção adotada pelo FASB e outros órgãos reguladores e oferece sugestões.

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Song, Hyounggun, Sung Kwon Han, Seung Hwan Jeong, Hee Soo Lee, and Kyong Joo Oh. "Using Genetic Algorithms to Develop a Dynamic Guaranteed Option Hedge System." Sustainability 11, no. 15 (July 29, 2019): 4100. http://dx.doi.org/10.3390/su11154100.

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In this research, we develop a guaranteed option hedge system to protect against capital market risks using a genetic algorithm (GA). We test the hedge effectiveness of our guaranteed option hedge strategy by comparing the performance of our system with those of other strategies. A genetic algorithm heuristic trading method for the optimization of a non-linear problem is applied to each system to improve the hedge effectiveness. The GA dynamic hedge system developed in this research is found to improve hedge effectiveness by reducing the option value volatility and increasing the total profit. Insurance companies are able to make more efficient investment strategies by using our guaranteed option hedge system. It contributes to the investment efficiency of the insurance companies and helps to achieve efficiency for financial markets. In addition, it helps to achieve sustained economic benefits to policyholders. In this sense, the system developed in this paper plays a role in sustaining economic growth.

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Rhodes, James E. "To Hedge or Not to Hedge? (Part I)." ICFA Continuing Education Series 1989, no. 5 (January 1989): 4–8. http://dx.doi.org/10.2469/cp.v1989.n5.2.

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Proffer, Carol W. "To Hedge or Not to Hedge? (Part II)." ICFA Continuing Education Series 1989, no. 5 (January 1989): 9–12. http://dx.doi.org/10.2469/cp.v1989.n5.3.

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Ben Khelifa, Soumaya. "The European hedge funds industry: An empirical analysis of performance, liquidity, and growth." Corporate Governance and Sustainability Review 5, no. 2 (2021): 89–101. http://dx.doi.org/10.22495/cgsrv5i2p8.

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While the performance of hedge funds has grabbed much attention from researchers, a few studies have been conducted on the drivers of hedge fund liquidity and performance (Shaub & Schmid, 2013). This study proposes new approaches to investigate the effect of share restrictions on European hedge fund performance and liquidity. We run different regressions of 1) returns, 2) flows, and 3) exposure to market liquidity risk on share restrictions, managerial incentives, and a set of control variables as independent variables. Using a sample of 1423 European hedge funds, our results suggest that restrictions imposed by European hedge funds add economic value to investors. Furthermore, we find that European hedge funds with strong share restrictions take on lower liquidity risk. There is a weak difference in liquidity risk exposure across directional European hedge funds with and without share restrictions. In addition, European hedge funds’ experience, large outflows during a crisis, and all share restrictions do not seem to be significantly related to funding flows in the crisis period, as well as in times of non-crisis. Finally, only the groups of young funds are associated with significant funds exposure to market liquidity risk

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KORN, OLAF, and PHILIPP KOZIOL. "THE TERM STRUCTURE OF CURRENCY HEDGE RATIOS." International Journal of Theoretical and Applied Finance 14, no. 04 (June 2011): 525–57. http://dx.doi.org/10.1142/s0219024911006723.

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This paper investigates the variance minimizing currency forward hedge of an exporting firm that is exposed to different sources of risk. In an empirical study, we quantify the corresponding hedge ratios of a "typical" German firm for different hedge horizons. Based on cointegrated vector autoregressive models of prices, interest rates and exchange rates, we show that hedge ratios decrease substantially with the hedge horizon for different currencies, reaching values of one half or less for a ten-years horizon. Our findings can partly explain underhedging of long-term exchange rate exposures and have important implications for the design of risk management strategies.

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Journal articles on the topic 'Hedga'

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