Published papers
Bill Fung
Peer-Reviewed Journal Articles:
'Hedge Funds: Performance, Risk and Capital Formation' with William K. H. Fung, David A. Hsieh, Narayan Naik, and Tarun Ramadorai, forthcoming in the Journal of Finance. (2007) Download (PDF 184 KB)
'Hedge Fund Replication strategies: implications for investors and regulators' with William K.H. Fung and David A. Hsieh. (2007) http://www.banque-france.fr/gb/publications/rsf/rsf_042007.htm
'Will Hedge Funds Regress towards Index-like Products?, with William K.H. Fung and David A. Hsieh, forthcoming in Journal of Investment Management. (2007) http://www.joim.com/
'Hedge Funds: An Industry in its Adolescence', with William K.H. Fung and David A. Hsieh. Economic Review, Vol. 91, No. 4 (2006). Download (PDF 561 KB)
'Extracting Portable Alphas from Equity Long-Short Hedge Funds', with David Hsieh, forthcoming in Journal of Investment Management. Download (PDF 192 KB).
'Hedge Fund Benchmarks: A Risk-Based Approach', with David Hsieh, forthcoming in Financial Analysts Journal. Download (PDF 604 KB).
'The Risk in Fixed-Income Hedge Fund Strategies', with David Hsieh, Journal of Fixed Income, 12 (2002), 1-22 Download (PDF 706 KB).
'Asset-based Style Factors for Hedge Funds', with David Hsieh, Financial Analyst Journal, 58 (5), (2002), 16-27 Download (PDF 119 KB).
'Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases', with David Hsieh, Financial Analyst Journal, 58 (2002), 22-34. Download (PDF 1.48 MB).
'The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers', with David Hsieh, Review of Financial Studies, 14 (2001), 313-341. Download (PDF 251 KB). Winner of the Fischer Black Memorial Foundation1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds. Earlier versions of this paper were titled: 'A Risk Neutral Approach to Valuing Trend Following Strategies', 'Nonlinear Dynamics of Trend Following Strategies'.
'Measuring the Market Impact of Hedge Funds', with David Hsieh, Journal of Empirical Finance, 7 (2000), 1-36. Download (PDF 395 KB).
'Performance Characteristics of Hedge Funds and CTA Funds: Natural Versus Spurious Biases', with David Hsieh, Journal of Quantitative and Financial Analysis, 35, 291-307.
'A Primer on Hedge Funds', with David Hsieh, Journal of Empirical Finance, 6 (1999), 309-331. Download file (PDF 395 KB).
'Is Mean-Variance Analysis Applicable to Hedge Funds?' with David Hsieh, Economic Letters, 62 (1999), 53-58. Download (PDF 36 KB).
'Survivorship Bias and Investment Style in the Returns of CTAs', with David Hsieh, Journal of Portfolio Management, 24 (1997), 30-41.Download (PDF 40 KB).
'Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds', with David Hsieh, Review of Financial Studies, 10 (1997), 275-302. Download (PDF 372 KB).
Conference Volumes:
'Do Hedge Funds Disrupt Emerging Markets?', with David Hsieh and Konstantinos Tsatsaronis, Brookings-Wharton Papers on Financial Services, 2000, 377-421. Download (PDF 105 KB).
Narayan Naik
Peer-Reviewed Journal Articles:
'Risk and Portfolio Decisions involving Hedge Fund', with Vikas Agarwal, Review of Financial Studies, 17 (1), (2004), 63-98'
'Risk Management with Derivatives by Dealers and Market Quality in Government Bond Market', Journal of Finance, 58 (2), pp 325-353, 2003, (Winner of Robert J Schwartz Memorial Award for best paper on Hedging with Derivatives 2000). Download (PDF 287 KB).
'Strategic Trading Behaviour and Price Distortion in a Manipulated Market: Anatomy of a Squeeze', with John Merrick and Pradeep Yadav, forthcoming in Journal of Financial Economics. Download (PDF 914 KB).
'Multi-Period Performance Persistence Analysis of Hedge-funds' with V. Agarwal, Journal of Financial and Quantitative Analysis, (Sept 2000). Download (PDF 862 KB).
'Generalized Style Analysis of Hedge-funds' with V. Agarwal, Journal of Asset Management , (July 2000). Download (PDF 100 KB).
On Taking the Alternative Route: Risks, Rewards, and Performance Persistence of Hedge-funds' with V. Agarwal, Journal of Alternative Investments, (April 2000). Download (PDF 203 KB).
