The statistical properties of hedge fund index returns and their implications for investors

HM Kat, C Brooks - Cass Business School Research Paper, 2001 - papers.ssrn.com
The monthly return distributions of many hedge fund indices exhibit highly unusual
skewness and kurtosis properties as well as first-order serial correlation. This has important …

Hedge fund performance 1990–2000: Do the “money machines” really add value?

GS Amin, HM Kat - Journal of financial and quantitative analysis, 2003 - cambridge.org
We investigate the claim that hedge funds offer investors a superior risk-return tradeoff. We
do so using a continuous-time version of Dybvig's (1988a), (1988b) payoff distribution pricing …

[HTML][HTML] Fund of hedge funds portfolio selection: A multiple-objective approach

RJ Davies, HM Kat, S Lu - Journal of Derivatives & Hedge Funds, 2009 - Springer
This paper develops a technique for fund of hedge funds to allocate capital across different
hedge fund strategies and traditional asset classes. Our adaptation of the polynomial goal …

Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1, 1) and Egarch (1, 1) Models.

HM Kat, RC Heynen - Journal of Derivatives, 1994 - papers.ssrn.com
Future volatility is a key input for pricing and hedging derivatives and for quantitative
investment strategies in general. There are many different approaches. This article investigates …

What every investor should know about commodities, Part II: Multivariate return analysis

HM Kat, RCA Oomen - Alternative Investment Research Centre …, 2006 - papers.ssrn.com
In this paper we study the multivariate return properties of a large variety of commodity futures.
We find that between commodity groupings (such as metals, energy, etc.) correlations are …

Welcome to the dark side: Hedge fund attrition and survivorship bias over the period 1994-2001

HM Kat, GS Amin - Cass Business School Research Paper, 2001 - papers.ssrn.com
Hedge funds exhibit a high rate of attrition that has increased substantially over time. Using
data over the period 1994-2001, we show that lack of size, lack of performance and an …

Stocks, bonds, and hedge funds

GS Amin, HM Kat - Journal of Portfolio Management, 2003 - search.proquest.com
What are the diversification effects of introducing hedge funds into a portfolio of stocks and
bonds? In terms of skewness and kurtosis, equity and hedge funds do not combine very well. …

Partial barrier options

RC Heynen, HM Kat - The Journal of Financial Engineering, 1994 - papers.ssrn.com
In this paper we study the pricing of barrier options where the period during which the
underlying price is monitored for barrier hits is restricted to only part of the options' lifetime. We …

What every investor should know about commodities Part II: multivariate return analysis

HM Kat, RCA Oomen - Journal of Investment Management, 2007 - papers.ssrn.com
In this paper, we study the multivariate return properties of a large variety of commodity futures.
We find that between commodity groupings (such as metals, energy, etc.) correlations are …

[PDF][PDF] 10 things that investors should know about hedge funds

HM Kat - The Journal of wealth management, 2003 - Citeseer
• Most databases are of relatively low quality as most data vendors simply pass on the data
supplied by the fund managers and their administrators without any independent verification. …