The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
Abstract
Hedge fund strategies typically generate option-like returns. Linear-factor models using benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten and Jagannathan (1994), this article shows how to model hedge fund returns by focusing on the popular “trend-following” strategy. We use lookback straddles to model trend-following strategies, and show that they can explain trend-following funds’ returns better than standard asset indices. Though standard straddles lead to similar empirical results, lookback straddles are theoretically closer to the concept of trend following. Our model should be useful in the design of performance benchmarks for trend-following funds.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
What matters for financial development? Capital controls, institutions, and interactions
Chinn, M. D., & Ito, H. (2006) · Journal of Development Economics · doi:10.1016/j.jdeveco.2005.05.010 · Cited by 2,650
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Hedge Fund Benchmarks: A Risk-Based Approach
Fung, W., & Hsieh, D. A. (2004) · Financial Analysts Journal · doi:10.2469/faj.v60.n5.2657 · Cited by 1,031
Self-citationRole of Managerial Incentives and Discretion in Hedge Fund Performance
AGARWAL, V., DANIEL, N. D., & NAIK, N. Y. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01499.x · Cited by 688
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆
KOSOWSKI, R., NAIK, N., & TEO, M. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.12.009 · Cited by 594
Metadata
- Authors
- Fung, W., & Hsieh, D. A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2001-04
- Volume
- 14
- Issue
- 2
- Pages
- 313-341
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2101434526
- Cited by
- 1,197
- References
- 1
- FWCI
- 43.60
- Type
- journal article
- Language
- en
- Open access
- closed
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- Fung, W., & Hsieh, D. A. (2001). The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers. Review of Financial Studies. https://doi.org/10.1093/rfs/14.2.313
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
