David Hsie: research on hedge funds

Published

[1] “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds,” with William Fung, Review of Financial Studies, 10 (1997), 275-302. PDF file.

[2] “Survivorship Bias and Investment Style in the Returns of CTAs,” with William Fung, Journal of Portfolio Management, 24 (1997), 30-41.PDF file.

[3] “Is Mean-Variance Analysis Applicable to Hedge Funds?” with William Fung, Economic Letters, 62 (1999), 53-58. PDF file.

[4] “A Primer on Hedge Funds,” with William Fung, Journal of Empirical Finance, 6 (1999), 309-331. PDF file.

[5] “Performance Characteristics of Hedge Funds and CTA Funds: Natural Versus Spurious Biases,” with William Fung, Journal of Quantitative and Financial Analysis, 35 (2000), 291-307. PDF file.

[6] “Measuring the Market Impact of Hedge Funds,” with William Fung, Journal of Empirical Finance, 7 (2000), 1-36. PDF file.

[7] “The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers,” with William Fung, Review of Financial Studies, 14 (2001), 313-341. PDF file. Winner of the Fischer Black Memorial Foundation1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds. [Earlier versions of this paper were titled: “A Risk Neutral Approach to Valuing Trend Following Strategies”, “Nonlinear Dynamics of Trend Following Strategies”.]

[8] “Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases,” with William Fung, Financial Analyst Journal, 58 (2002), 22-34. PDF file.

[9] “Asset-based Style Factors for Hedge Funds,” with William Fung, Financial Analyst Journal, forthcoming. PDF file.

[10] “The Risk in Fixed-Income Hedge Fund Strategies,” with William Fung, Journal of Fixed Income, forthcoming. PDF file.

[11] “Hedge Fund Benchmarks: A Risk Based Approach,” with William Fung, Financial Analyst Journal, 60 (2004), 65-80. PDF file (last version before publication).

[12] “Extracting Portable Alphas from Equity Long-Short Hedge Funds,” with William Fung, Journal of Investment Management, forthcoming. PDF file (last version before publication).

[13] “Do Hedge Funds Disrupt Emerging Markets?,” with William Fung and Konstantinos Tsatsaronis, Brookings-Wharton Papers on Financial Services, 2000, 377-421. PDF file.
[14] “The Risks in Hedge Fund Strategies: Alternative Alphas and Alternative Betas,” with William Fung, in Lars Jaeger (ed), Managing the Risks of Alternative Investment Strategies, Euromoney, 2003.

Unpublished

“Performance Attribution and Style Analysis: From Mutual Funds to Hedge Funds,” with William Fung, 1996. PDF file.

This entry was posted in Clippings, Economics, Finance and Investments. Bookmark the permalink.

Leave a Reply

Your email address will not be published. Required fields are marked *