Spanning tests for assets with option-like payoffs: the case of hedge funds

 

Topic: Spanning tests for assets with option-like payoffs:the case of hedge funds

 

Speaker: Paul Karehnke, UNSW

 

We propose a new performance evaluation method which allows for investors with skewness preference and is designed for assets with option-like returns. Our method delivers conclusions, which are neither parameter nor investor dependent, and we show that it is better able to account for non-linearities in returns than previously proposed option-based factor models. Applied to hedge funds, our method  yields different  conclusions  compared  to standard  tests,  especially in the recent sub-sample, for younger funds, and compared to mutual funds. While our main conclusions are based on statistical tests, we also verify that our framework leads to economically significant performance adjustments.

 

A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 20th March.

 

Time: 12.00 – 1.00 p.m.

Venue: University of Technology, Sydney

             Building 8
             Dr Chau Chak Wing Building

             14 - 28 Ultimo Road, Ultimo

 

 

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)