Performance of Funds of Hedge Funds

The studies of hedge fund performance are hindered by the lack of quality returns data and the complicated nature of hedge fund returns. This study contributes to the literature in three ways. First, I reinvestigate the performance of hedge funds from different aspects. Second, I develop a new framework to evaluate fund of hedge funds managers\u27 skills. Finally, I exam the performance persistence of funds of hedge funds by using various performance measures. In the first study, I find that the annual survivorship and backfilled biases for funds of hedge funds are 0.66% and 0.21%, respectively, during the period 1994-2004. I confirm that hedge funds\u27 monthly returns tend to have low standard deviations, negative skewness and high kurtosis. Hedge funds often underperform the equity market in terms of absolute returns, but outperform the equity market in terms of traditional performance measures like the Jensen alpha, Treynor, and Sharpe ratios. However, when accounting for downside risks, the Omega and Sortino ratios both indicate that the performance of hedge funds is not as superior as the traditional performance measures suggest. I also find that hedge funds usually have low exposures to risk factors identified by Fama and French (1993), and Fung and Hsieh (2004). The subperiod analysis indicates that hedge funds tend to underperform the equity market during a bullish stock market, but outperform the equity market during a bearish stock market. I also find some evidence of stale price when returns are measured monthly, quarterly or semiannually. However, it appears that the stale price does not affect the performance rankings. In the second study, I am able to replicate funds of funds returns by using hedge fund strategy indices. I find that fund of hedge funds managers have neither the ability of picking winning hedge funds on the net basis nor the ability of predicting winning hedge fund strategies. In the third study, I find strong evidence of performance persistence when returns are measured monthly, quarterly or semiannually. The evidence of persistence is substantially weakened when returns are measured annually. The quintile analysis indicates that the winners based on the past alpha tend to have the highest return while the losers based on the past Sortino ratio have the lowest return

ナノミストを用いた青果物の品質保持法

1.Introduction / 2.Investigation of particle size distributions produced by humidifiers operating in high humidity storage environments / 3.Examination of the strength of corrugated cardboard exposure to nanomist and ultrasonic mist under high humidity condition / 4.Weight loss and quality attributes of fresh produce following postharvest storage under nanomist and ultrasonic mist environments / 5.Investigation of postharvest quality of fig (Ficus carica L.) fruit stored under nanomist and ultrasonic mist condition with high relative humidity / 6.Summary and conclusionsSubmitted by 真弓 小柳 ([email protected]) on 2012-04-09T05:05:33Z No. of bitstreams: 2 agr644_abstract.pdf: 23786 bytes, checksum: 6dd32e013b19585bf3a8c9268678dde4 (MD5) agr644.pdf: 8923928 bytes, checksum: 1825c8fbc458388201abb337087806b5 (MD5)Made available in DSpace on 2012-04-09T05:05:33Z (GMT). No. of bitstreams: 2 agr644_abstract.pdf: 23786 bytes, checksum: 6dd32e013b19585bf3a8c9268678dde4 (MD5) agr644.pdf: 8923928 bytes, checksum: 1825c8fbc458388201abb337087806b5 (MD5)主1-参1生産環境The objectives of this study were to investigate the particle size distribution of nanomist and ultrasonic mist and to find out their effects on preserving the strength of corrugated cardboard boxes and on improving the shelf life and quality of fresh produce under high relative humidity environment during cold storage. The thesis consists of introduction, four main chapters and conclusion

The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach

This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one market to another.term structure; Heath-Jarrow-Morton; local linearization; filtering

A closed-form solution for free vibration of multiple cracked Timoshenko beam and application

A closed-form solution for free vibration is constructed and used for obtaining explicit frequency equation and mode shapes of  Timoshenko beams with arbitrary number of cracks. The cracks are represented by the rotational springs of stiffness calculated from the crack depth.  Using the obtained frequency equation, the sensitivity of natural frequencies to crack of the beams is examined in comparison with the  Euler-Bernoulli beams. Numerical results demonstrate that the Timoshenko beam theory is efficiently applicable not only for short or fat beams but also for the long or slender ones. Nevertheless, both the theories are equivalent in sensitivity analysis of fundamental frequency to cracks and they get to be different for higher frequencies

FDI spill-overs, absorptive capacity and domestic firms' technical efficiency in Vietnamese wearing apparel industry

This study empirically examines relationship between FDI spill-overs and technical efficiency of domestic firms and role of the absorptive capacity of domestic firms. Data on Vietnamese Annual Enterprises Survey are exploited to build a firm-level panel data on the Vietnamese wearing apparel industry from 2009 to 2013. By applying stochastic production frontier model, this paper shows that there are positive vertical spill-over effects but no horizontal effects. Moreover, this study finds the negative impact of the absorptive capacity of domestic firms on benefits reaped from FDI externalities

Social Optimum Equilibrium Selection for Distributed Multi-Agent Optimization

We study the open question of how players learn to play a social optimum pure-strategy Nash equilibrium (PSNE) through repeated interactions in general-sum coordination games. A social optimum of a game is the stable Pareto-optimal state that provides a maximum return in the sum of all players' payoffs (social welfare) and always exists. We consider finite repeated games where each player only has access to its own utility (or payoff) function but is able to exchange information with other players. We develop a novel regret matching (RM) based algorithm for computing an efficient PSNE solution that could approach a desired Pareto-optimal outcome yielding the highest social welfare among all the attainable equilibria in the long run. Our proposed learning procedure follows the regret minimization framework but extends it in three major ways: (1) agents use global, instead of local, utility for calculating regrets, (2) each agent maintains a small and diminishing exploration probability in order to explore various PSNEs, and (3) agents stay with the actions that achieve the best global utility thus far, regardless of regrets. We prove that these three extensions enable the algorithm to select the stable social optimum equilibrium instead of converging to an arbitrary or cyclic equilibrium as in the conventional RM approach. We demonstrate the effectiveness of our approach through a set of applications in multi-agent distributed control, including a large-scale resource allocation game and a hard combinatorial task assignment problem for which no efficient (polynomial) solution exists.Comment: Appears at the 5th Games, Agents, and Incentives Workshop (GAIW 2023). Held as part of the Workshops at the AAMAS 2023 Conferenc