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• W2016004146 abstract "This study analyses and decomposes hedge fund returns to detect a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform classical equities and bond indices over a full market cycle and over bullish and bearish market periods. The methodology used is adapted from Capocci and Hübner. The measures used include the returns, the volatility, the Sharpe score, the alpha, the beta, the skewness and the kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha and consistently and significantly outperform classical indices. A sub-period analysis is performed to check the robustness of the results. Copyright © 2008 John Wiley & Sons, Ltd." @default.
• W2016004146 created "2016-06-24" @default.
• W2016004146 creator A5048666221 @default.
• W2016004146 date "2009-07-01" @default.
• W2016004146 modified "2023-09-27" @default.
• W2016004146 title "The persistence in hedge fund performance: extended analysis" @default.
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• W2016004146 doi "https://doi.org/10.1002/ijfe.371" @default.
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