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Hedge Fund Beta

•Roger G. Ibbotson, Peng Chen, "The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs", Yale ICF Working Paper


•Sharpe, W. F., 1992, “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, 18, 7–19.


•Scott Mackey, "Estimating Risk Premiums of Individual Hedge Funds", Journal of Alternative Investments, Spring 2006.

•William K. H. Fung and David A. Hsieh, "The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative Betas"

•Hasanhodzic, Jasmina and Lo, Andrew W., "Can Hedge-Fund Returns Be Replicated?: The Linear Case" (August 16, 2006).

•Mila Getmansky and Andrew W. Lo and Igor Makarov, 2003. An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (2004) 529–609

•Nicholas Chan and Mila Getmansky, 2005. Systemic Risk and Hedge Funds, MIT Draft Working Paper

•Lars Jaeger and Christian Wagner, Factor Modeling and Benchmarking of Hedge Funds: Can Passive Investments in Hedge Fund Strategies Deliver?, Journal of Alternative Investments, 2005.

•Fung, W., and D.A. Hsieh, 1997, Empirical characteristics of dynamic trading strategies: The case of hedge funds,” Review of Financial Studies, 10, 275-302.

•Fung, W., and D.A. Hsieh, 2001, “The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers,” Review of Financial Studies, 14(2), 313-341.

•Fung, W., and D.A. Hsieh, 2002a, “Risk in Fixed-Income Hedge Fund Styles,” Journal of Fixed Income, 12(2), 6-27.

•Fung, W., and D. A. Hsieh, 2002b, “Asset-Based Style Factors for Hedge Funds,” Financial Analysts Journal, 58(5), 16-27.

•Fung, W., and D. A. Hsieh, 2004a, “Hedge Fund Benchmarks: A Risk Based Approach,” Financial Analysts Journal, 60, 65-80.

•Fung, W., and D.A. Hsieh, 2004b, “Extracting Portable Alphas from Equity Long-Short Hedge Funds,” Journal of Investment Management, forthcoming.

•Fung, W., Hsieh, D.A., Naik, Narayan Y., and Tarun Ramadorai, 2005, “Hedge Funds: Performance, Risk, and Capital Formation,” Working Paper, Duke University, London Business School, and University of Oxford.

•Ackermann, C, McEnally, R Ravenscraft, D, 1999. "The performance of hedge funds: Risk, return and inventives", Journal of Finance 54, 833-874.

•Edwards FR, Caglayan MO, 2001. "Hedge fund performance and manager skill", Journal of Futures Markets 21 (11), 1002-1028.

•Liew J, 2003, "Hedge fund index investing examined", Journal of Portfolio Management 29 (2), 113-123.

•Agarwal V, Naik, NY, 2004. "Risks and portfolio decisions involving hedge funds." Review of Financial Studies 17 (1), 63-98.

•Agarwal V, Naik, NY, 2000. "Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies", Review of Financial Studies.

Attached files:

paper.pdf  Estimating Risk Premiums of Individual Hedge Funds.pdf  jfe2004lo.pdf  

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