Hedge fund performance 1990-2000: Do the "money machines" really add value?

Journal of Financial and Quantitative Analysis

Volumn 38, Issue 2, 2003, Pages 251-274

  Amin, Gaurav S ^a   Kat, Harry M ^b  

^a Schroder Investment Management   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038464613     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/4126750     Document Type: Review

References (34)

1. Ackermann, C.; R. McEnally; and D. Ravenscraft. "The Performance of Hedge Funds: Risk, Return and Incentives." Journal of Finance, 54 (1999), 833-874.
2. Agarwal, V., and N. Naik. "On Taking the Alternative Route: Risks, Rewards, Style and Performance Persistence of Hedge Funds." Journal of Alternative Investments, 2 (2000), 6-23.
3. _. "Characterizing Systematic Risk of Hedge Funds with Buy-and-Hold and Option-Based Strategies." Working Paper, London Business School (2001).
4. Amin, G., and H. Kat. "Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias 1994-2001." Journal of Alternative Investments (forthcoming 2003).
5. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 3 (1973), 637-654.
6. Brooks, C., and H. Kat. "The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors." Journal of Alternative Investments, 5 (2002), 26-44.
7. Brown, S.; W. Goetzmann; and R. Ibbotson. "Offshore Hedge Funds: Survival and Performance." Journal of Business, 72 (1999), 91-117.
8. Chen, Z., and P. Knez. "Portfolio Performance Measurement: Theory and Applications." Review of Financial Studies, 9 (1996), 511-555.
9. Chernov, M. "A Case of Empirical Reverse Engineering: Estimation of the Pricing Kernel." Working Paper, Columbia Univ. (2000).
10. Cox, J., and C. Huang. "Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process." Journal of Economic Theory, 49 (1989), 33-83.
11. Cox, J., and H. Leland. "On Dynamic Investment Strategies." Journal of Economic Dynamics and Control, 24 (2000), 1859-1880.
12. Dahlquist, M., and P. Soderlind. "Evaluating Portfolio Performance with Stochastic Discount Factors." Journal of Business, 72 (1999), 347-383.
13. Dybvig, P. "Distributional Analysis of Portfolio Choice." Journal of Business, 61 (1988a), 369-393.
14. _. "Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market." Review of Financial Studies, 1 (1988b), 67-88.
15. Fung, W., and D. Hsieh. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds." Review of Financial Studies, 10 (1997), 275-302.
16. _. "Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases." Journal of Financial and Quantitative Analysis, 35 (2000), 291-307.
17. _. "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers." Review of Financial Studies, 14 (2001), 313-341.
18. Glosten, L., and R. Jagannathan, "A Contingent Claim Approach to Performance Evaluation." Journal of Empirical Finance, 1 (1994), 133-160.
19. Harrison, J., and D. Kreps. "Martingales and Arbitrage in Multi-Period Securities Markets." Journal of Economic Theory, 20 (1979), 381-408.
20. He, J.; L. Ng; and C. Zhang. "Asset Pricing Specification Errors and Performance Evaluation." European Finance Review, 3 (1999), 205-232.
21. Hoggard, T.; E. Whalley; and P. Wilmott. "Hedging Option Portfolios in the Presence of Transaction Costs." In Advances in Futures and Options Research, D. Chance and R. Trippi, eds., Greenwich, CT:JAI Press, 7 (1994), 21-35.
22. Jarque, C., and A. Bera. "A Test for Normality of Observations and Regression Residuals." International Statistical Review, 55 (1987), 163-172.
23. Jensen, M. "The Performance of Mutual Funds in the Period 1945-1964." Journal of Finance, 23 (1968), 389-416.
24. KPMG Consulting. "The Coming Revolution of the Hedge Fund Industry: A Case for Growth and Restructuring." Discussion Paper, KPMG Peat Marwick LLP (1998).
25. Leland, H. "Option Pricing and Replication with Transaction Costs." Journal of Finance, 40 (1985), 1283-1301.
26. Liang, B. "On the Performance of Hedge Funds." Financial Analysts Journal, 55 (1999), 72-85.
27. _. "Hedge Fund Performance: 1990-1999." Financial Analysts Journal, 57 (2001), 11-18.
28. Lo, A. "Risk Management for Hedge Funds: Introduction and Overview." Financial Analysts Journal, 51 (2001), 16-33.
29. Merton, R. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts." Journal of Business, 54 (1981), 363-406.
30. Mitchell, M., and T. Pulvino. "Characteristics of Risk and Return in Risk Arbitrage." Journal of Finance, 56 (2001), 2135-2175.
31. Pelsser, A., and T. Vorst. "Transaction Costs and Efficiency of Portfolio Strategies." European Journal of Operational Research, 91 (1996), 250-263.
32. President's Working Group on Financial Markets. "Hedge Funds, Leverage and the Lessons of Long-Term Capital Management." Report of the President's Working Group on Financial Markets (1999).
33. Sharpe, W. "Mutual Fund Performance." Journal of Business, 39 (1966), 119-138.
34. _. "Asset Allocation: Management Style and Performance Measurement." Journal of Portfolio Management, 18 (1992), 7-19.