Estimating hedge fund leverage
Bank for International Settlements, Monetary and Economic Department, 2008 - Business & Economics - 37 pages
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36 month ampliﬁed arbitrage average returns bias biased Black-Scholes broad market indices call options capture coefﬁcient estimates correlation deﬁned empirical equation equity hedge equity no-hedge estimated coefﬁcients Estimated leverage estimates of leverage excess returns funding leverage funds of funds funds which report funds-of-funds Goldman Sachs GSCOM hedge fund returns indicator of leverage investment strategies investment style investors Lehman Brothers LEV3 LEV4 LEV5 leverage indicator LEVN funds macro funds managed futures market risk factors MSCI World multicollinearity nine fund families non-cash assets omitted variable bias overall performance portfolio returns put and call R-squared and samp-e reference index reference security regression ﬁt regression window retums RHS factors RHS regressors RHS risk factors RHS variables Salomon Brothers samples short position signiﬁcantly speciﬁc ST_EQHED ST_FOF ST_MNFUT stepwise regression style analysis regressions synthetic option returns synthetic options factors systemic risk volatility yield