Reference : Gamma Trading Skills in Hedge Funds
E-prints/Working papers : First made available on ORBi
Business & economic sciences : Finance
http://hdl.handle.net/2268/223584
Gamma Trading Skills in Hedge Funds
English
Fays, Boris mailto [Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise >]
Hübner, Georges mailto [Université de Liège - ULiège > HEC Liège : UER > Gestion financière >]
Lambert, Marie mailto [Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise >]
2018
No
[en] This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined in our replication model. On top of providing a flexible tool to create individual benchmarks for the payoff curvature of hedge fund, the model helps assigning hedge fund styles into three categories: directional with market timing skills, non-directional and market timers. Overall, our empirical results show that, on 30% of replicated funds in our sample (10,958 funds), there is no evidence of the presence of selection skills once a fund performance is adjusted with respect to the option-based benchmark and the traditional option-based factors of Agarwal and Naik (2004). This research has an incremental potential to stimulate additional research in the field of hedge funds performance replication through passive strategies.
http://hdl.handle.net/2268/223584

File(s) associated to this reference

Fulltext file(s):

FileCommentaryVersionSizeAccess
Open access
Gamma_Trading_Skills_in_Hedge_Funds 16052018.pdfPublisher postprint4.85 MBView/Open

Bookmark and Share SFX Query

All documents in ORBi are protected by a user license.