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.
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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
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[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.
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:
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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
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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.