Fung hsieh empirical characteristics dynamic trading strategies

Fung hsieh empirical characteristics dynamic trading strategies
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TheRiskinHedgeFundStrategies: TheoryandEvidencefrom

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds William Fung Paradigm, LDC David A. Hsieh Duke University This article presents some new results on an un- explored dataset on hedge fund performance.

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David A. Hsieh's Hedge Fund Data Library

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds Article in Review of Financial Studies 10(2) · December 1999 with 155 Reads DOI: 10.1093/rfs/10.2.275

Fung hsieh empirical characteristics dynamic trading strategies
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Binary Hedge Fund Review | High Return Investing

University of Wyoming Sherrill Shaffer University of Wyoming Jo Marie Sharratt William Fung & David A. Hsieh, 1997, "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds" Review of Financial Studies, Vol. 10, pp. 275-302.

Fung hsieh empirical characteristics dynamic trading strategies
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Lee W. Sanning* University of Wyoming Sherrill Shaffer

Alternative beta is the concept of managing volatile "alternative investments", This issue was raised in the 1997 paper "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds" by William Fung and David Hsieh.

Fung hsieh empirical characteristics dynamic trading strategies
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The Information Content of Performance Track Records

This question was first implicitly raised in 1997 by William Fung and David Hsieh in an influential paper on empirical properties of hedge fund returns (Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds).

Fung hsieh empirical characteristics dynamic trading strategies
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Evaluation of Hedge Funds Performance

Fung, W. and D. Hsieh, 1997, “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds”, Review of Financial Studies 10, 275–302. * Getmansky, M., Lo, A. and I. Makarov, 2004, “An Econometric Analysis of Serial Correlation and Illiquidity in Hedge-Fund Returns”, Journal of Financial Economics 74, 529–609.

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What do we know about the risk and return characteristics

In order to verify that this phenomenon is not merely an empirical regularity, Fung and Hsieh (2001a) explicitly modeled trend-following strategies using traded options. Characteristics of

Fung hsieh empirical characteristics dynamic trading strategies
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Risk in Hedge Fund Strategies: Theory and Evidence from

A set of empirical factor model for style analysis to illustrate that dynamic, rather than buy-and-hold, trading strategies better explain hedge fund returns (Fung and Hsieh, 1997). Developing and captures the basic characteristics of the primitive trend following …

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Predictability of fund of hedge fund returns using DynaPorte

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds William Fung Paradigm, LDC David A. Hsieh Duke University This article presents some new results on an un-explored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from

Fung hsieh empirical characteristics dynamic trading strategies
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Empirical Characteristics of Dynamic Trading Strategies

William Fung, David A. Hsieh, Tarun Ramadorai and Narayan Y. Naik. PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting Performance Measurement and Evaluation, Performance Measurement, Portfolio Management, Hedge Fund Strategies

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MANAGED FUTURES AND LONG VOLATILITY - Jez Liberty

Fung,W and D. A Hsieh (1997): Empirical characteristics of dynamic trading strategies: The case of hedge funds, Review of Financial Studies, Vol 10, p 275-302. (*) Conrad, J and G. Kaul (1998): An anatomy of trading strategies, Review of Financial Studies, Vol 11, p 489-519.

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Empirical Characteristics of Dynamic Trading Strategies

This "Cited by" count includes citations to the following articles in Scholar. Empirical characteristics of dynamic trading strategies: The case of hedge funds. W Fung, DA Hsieh. The review of financial studies 10 (2), W Fung, DA Hsieh, NY Naik, T Ramadorai. The …

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Empirical characteristics of dynamic trading strategies

The Role of Risk in Asset Allocation. Fung, William, and David A. Hsieh. 1997a. “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds.” Review of Financial Studies, vol. 10, no. 2 (Summer):275–302.

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The Role of Risk in Asset Allocation - Research Affiliates

Fung, W., and D.A. Hsieh, 1997, "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, 10, 275302. Grinblatt, M. and S. Titman, 1989, "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," Journal of Business, 62, 393-416. Irwin, S. H., 1994, "Further Evidence on the

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David A. Hsieh | [email protected]

-Eight standard asset classes used in William Fung & David A. Hsieh, "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds" (Review of Financial Studies, 1997, Vol 10, pp. 275-302). Click here to send email to David A. Hsieh.

Fung hsieh empirical characteristics dynamic trading strategies
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David Arthur Hsieh - Google Scholar Citations

The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers William Fung; David A. Hsieh Theory and Evidence from Trend Followers William Fung; David A. Hsieh The Review of Financial Studies, Vol. 14, No. 2. Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds William Fung; David A. Hsieh

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Asset Allocation: Management Style and Performance

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds William Fung Paradigm, LDC David A. Hsieh Duke University This article presents some new results on an un-explored dataset on hedge fund performance.