the risk in hedge fund strategies: theory and evidence ...the performance of mutual funds in the...

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The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers William Fung; David A. Hsieh The Review of Financial Studies, Vol. 14, No. 2. (Summer, 2001), pp. 313-341. Stable URL: http://links.jstor.org/sici?sici=0893-9454%28200122%2914%3A2%3C313%3ATRIHFS%3E2.0.CO%3B2-Z The Review of Financial Studies is currently published by Oxford University Press. Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at http://www.jstor.org/journals/oup.html. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. For more information regarding JSTOR, please contact [email protected]. http://www.jstor.org Fri Jan 5 01:05:44 2007

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Page 1: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and

The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers

William Fung; David A. Hsieh

The Review of Financial Studies, Vol. 14, No. 2. (Summer, 2001), pp. 313-341.

Stable URL:

http://links.jstor.org/sici?sici=0893-9454%28200122%2914%3A2%3C313%3ATRIHFS%3E2.0.CO%3B2-Z

The Review of Financial Studies is currently published by Oxford University Press.

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available athttp://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtainedprior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content inthe JSTOR archive only for your personal, non-commercial use.

Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained athttp://www.jstor.org/journals/oup.html.

Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printedpage of such transmission.

JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. Formore information regarding JSTOR, please contact [email protected].

http://www.jstor.orgFri Jan 5 01:05:44 2007

Page 2: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 3: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 4: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 5: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 6: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 7: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 8: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 9: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 10: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
Page 11: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
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Page 18: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
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Page 22: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
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Page 27: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
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Page 29: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and
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Page 31: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and

You have printed the following article:

The Risk in Hedge Fund Strategies: Theory and Evidence from Trend FollowersWilliam Fung; David A. HsiehThe Review of Financial Studies, Vol. 14, No. 2. (Summer, 2001), pp. 313-341.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%28200122%2914%3A2%3C313%3ATRIHFS%3E2.0.CO%3B2-Z

This article references the following linked citations. If you are trying to access articles from anoff-campus location, you may be required to first logon via your library web site to access JSTOR. Pleasevisit your library's website or contact a librarian to learn about options for remote access to JSTOR.

[Footnotes]

3 The Performance of Mutual Funds in the Period 1945-1964Michael C. JensenThe Journal of Finance, Vol. 23, No. 2, Papers and Proceedings of the Twenty-Sixth AnnualMeeting of the American Finance Association Washington, D.C. December 28-30, 1967. (May,1968), pp. 389-416.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28196805%2923%3A2%3C389%3ATPOMFI%3E2.0.CO%3B2-G

3 Portfolio Performance Evaluation: Old Issues and New InsightsMark Grinblatt; Sheridan TitmanThe Review of Financial Studies, Vol. 2, No. 3. (1989), pp. 393-421.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281989%292%3A3%3C393%3APPEOIA%3E2.0.CO%3B2-8

3 On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198107%2954%3A3%3C363%3AOMTAIP%3E2.0.CO%3B2-I

http://www.jstor.org

LINKED CITATIONS- Page 1 of 3 -

NOTE: The reference numbering from the original has been maintained in this citation list.

Page 32: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and

3 On Market Timing and Investment Performance. II. Statistical Procedures for EvaluatingForecasting SkillsRoy D. Henriksson; Robert C. MertonThe Journal of Business, Vol. 54, No. 4. (Oct., 1981), pp. 513-533.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198110%2954%3A4%3C513%3AOMTAIP%3E2.0.CO%3B2-D

7 On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198107%2954%3A3%3C363%3AOMTAIP%3E2.0.CO%3B2-I

10 On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198107%2954%3A3%3C363%3AOMTAIP%3E2.0.CO%3B2-I

References

The Pricing of Options and Corporate LiabilitiesFischer Black; Myron ScholesThe Journal of Political Economy, Vol. 81, No. 3. (May - Jun., 1973), pp. 637-654.Stable URL:

http://links.jstor.org/sici?sici=0022-3808%28197305%2F06%2981%3A3%3C637%3ATPOOAC%3E2.0.CO%3B2-P

Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge FundsWilliam Fung; David A. HsiehThe Review of Financial Studies, Vol. 10, No. 2. (Summer, 1997), pp. 275-302.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%28199722%2910%3A2%3C275%3AECODTS%3E2.0.CO%3B2-J

http://www.jstor.org

LINKED CITATIONS- Page 2 of 3 -

NOTE: The reference numbering from the original has been maintained in this citation list.

Page 33: The Risk in Hedge Fund Strategies: Theory and Evidence ...The Performance of Mutual Funds in the Period 1945-1964 Michael C. Jensen The Journal of Finance, Vol. 23, No. 2, Papers and

Path Dependent Options: "Buy at the Low, Sell at the High"M. Barry Goldman; Howard B. Sosin; Mary Ann GattoThe Journal of Finance, Vol. 34, No. 5. (Dec., 1979), pp. 1111-1127.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28197912%2934%3A5%3C1111%3APDO%22AT%3E2.0.CO%3B2-X

Portfolio Performance Evaluation: Old Issues and New InsightsMark Grinblatt; Sheridan TitmanThe Review of Financial Studies, Vol. 2, No. 3. (1989), pp. 393-421.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281989%292%3A3%3C393%3APPEOIA%3E2.0.CO%3B2-8

On Market Timing and Investment Performance. II. Statistical Procedures for EvaluatingForecasting SkillsRoy D. Henriksson; Robert C. MertonThe Journal of Business, Vol. 54, No. 4. (Oct., 1981), pp. 513-533.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198110%2954%3A4%3C513%3AOMTAIP%3E2.0.CO%3B2-D

The Performance of Mutual Funds in the Period 1945-1964Michael C. JensenThe Journal of Finance, Vol. 23, No. 2, Papers and Proceedings of the Twenty-Sixth AnnualMeeting of the American Finance Association Washington, D.C. December 28-30, 1967. (May,1968), pp. 389-416.Stable URL:

http://links.jstor.org/sici?sici=0022-1082%28196805%2923%3A2%3C389%3ATPOMFI%3E2.0.CO%3B2-G

On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:

http://links.jstor.org/sici?sici=0021-9398%28198107%2954%3A3%3C363%3AOMTAIP%3E2.0.CO%3B2-I

http://www.jstor.org

LINKED CITATIONS- Page 3 of 3 -

NOTE: The reference numbering from the original has been maintained in this citation list.