This article predicts the relative performance of hedge fund investment styles using time-
varying conditional stochastic dominance tests. These tests allow for the construction of …

The goal of this article is to assess whether investable hedge fund indices represent a
worthwhile addition to an alternative investment portfolio. Adjusting index returns for liquidity …

Using a nonparametric statistical methodology this thesis analyses nonlinear risk exposures
in portfolios and individual hedge funds. At the portfolio level an out-of-sample evidence of …

Hedge fund indices provide us an overview of the performances of hedge funds. Hedge fund
non-investable indices are regarded as the benchmarks and investable indices are their …

Hedge funds pool private capital and engage in a wide range of investment and trading
activities. Fund managers take long and short positions and use leverage and derivatives to …

The present work advances the research on hedge fund returns in three main areas. Firstly,
their statistical properties are assessed in order to understand by what degree the returns of …

The goal of the paper is to assess if investable hedge fund indices exhibit similar
characteristics as their non-investable benchmark indices. For all of our risk-adjusted …