Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison

Ackermann, C., McEnally, R. & Ravenscraft, D. (1999). The performance of hedge funds: risk, returns and incentives. Journal of Finance, 54 (3), 833–874.10.1111/0022-1082.00129Search in Google Scholar

Agarwal, V. & Naik, N.Y. (2000). On taking the alternative route: risks, rewards and performance persistence of hedge funds. Journal of Alternative Investment, 2 (4), 6–23.10.3905/jai.2000.318973Search in Google Scholar

Agarwal, V. & Naik, N.Y. (2004). Risks and portfolio decisions involving hedge funds. Review of Financial Studies, 17 (1), 63–98.10.1093/rfs/hhg044Search in Google Scholar

Agarwal, V., Boyson, N.M. & Naik, N.Y. (2009). Hedge funds for retail investors? An examination of hedged mutual funds. Journal of Financial and Quantitative Analysis, 44 (2), 273–305.10.1017/S0022109009090188Search in Google Scholar

Agarwal, V., Jiang, W., Tang, Y. & Yang, B. (2013). Uncovering hedge fund skill from the portfolio holdings they hide. Journal of Finance, 68 (2), 739–783.10.1111/jofi.12012Search in Google Scholar

Ahoniemi, K. & Jylha, P. (2014). Flows, price pressure and hedge fund returns. Financial Analysts Journal, 70 (5), 73–93.10.2469/faj.v70.n5.1Search in Google Scholar

Amenc, N. & Martellini, L. (2002). Portfolio optimization and hedge fund style allocation decisions. Journal of Alternative Investments, 5 (1), 7–20.10.3905/jai.2002.319051Search in Google Scholar

Ammann, M., Huber, O. & Schmid, M. (2010). Hedge fund characteristics and performance persistence. European Financial Management, 19 (2), 209–250.10.2139/ssrn.1650232Search in Google Scholar

Aspadarec, W. (2013). Investment performance of hedge funds. Folia Oeconomica Stetinensia, 13 (1), 175–185.10.2478/foli-2013-0001Search in Google Scholar

Athanassiou, P. (2009). Hedge fund regulation in the European Union. Current trends and future perspective. Alphen aan den Rijn. The Netherlands.Search in Google Scholar

Baele, L., Pungulescu, C. & ter Horst, J. (2007). Model uncertainty, financial markets integration and the home bias puzzle. Journal of International Money & Finance, 26 (4), 606–630.10.1016/j.jimonfin.2007.03.007Search in Google Scholar

Boyson, N. (2002). How are hedge fund manager characteristics related to performance. Volatility and survival? Ohio State University Working Paper Series.Search in Google Scholar

Brandon, R.G. & Wang, S. (2013). Liquidity risk, return predictability and hedge funds’ performance: an empirical study. Journal of Financial and Quantitative Analysis, 48 (1), 219–244.10.1017/S0022109012000634Search in Google Scholar

Broussard, J. & Neely, W. (2011). Mutual alternatives to hedge funds: market neutral and long/short funds. In Midwest Finance Association 2012 Annual Meetings Paper.10.2139/ssrn.1929034Search in Google Scholar

Brown, S.J., Goetzmann, W.N. & Park, J.M. (2001). Careers and survival: competition and risk in the hedge fund and CTA industry. Journal of Finance, 56 (5), 1869–1886.10.1111/0022-1082.00392Search in Google Scholar

Capocci, D. & Hübner, G. (2004). An analysis of hedge fund performance. Journal of Empirical Finance, 11 (1), 55–89.10.1016/j.jempfin.2002.12.002Search in Google Scholar

Carhart, M.M. (1997). On persistence in mutual fund performance. Journal of Finance, 52 (1), 57–82.10.1111/j.1540-6261.1997.tb03808.xSearch in Google Scholar

Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010.Search in Google Scholar

Eling, M. & Schuhmacher, F. (2007). Does the choice of performance measure influence the evaluation of hedge funds? Journal of Banking & Finance, 31 (9), 2632–2647.10.1016/j.jbankfin.2006.09.015Search in Google Scholar

Eling, M. (2009). Does hedge fund performance persist? Overwiew and new empirical evidence. European Financial Management, 15 (2), 362–401.10.1111/j.1468-036X.2008.00471.xSearch in Google Scholar

Eling, M., Farinelli, S., Rossello, D., Tibiletti, L. (2011). One-size or tailor-made performance ratios for ranking hedge funds? Journal of Derivatives & Hedge Funds, 16 (4), 267–277.10.1057/jdhf.2010.20Search in Google Scholar

Fama, E.F. & French, K.R. (1993). Common risk factors in the returns on stock and bonds. Journal of Financial Economics, 33 (1), 3–56.10.1016/0304-405X(93)90023-5Search in Google Scholar

Fung, W. & Hsieh, D.A. (1997). Empirical characteristics of dynamic trading strategies: the case of hedge funds. Review of Financial Studies, 10 (2), 275–302.10.1093/rfs/10.2.275Search in Google Scholar

Fung, W. & Hsieh, D.A. (1999a). A primer on hedge funds. Journal of Empirical Finance, 6(3), 309–331.10.1016/S0927-5398(99)00006-7Search in Google Scholar

Fung, W. & Hsieh, D.A. (1999b). Is mean-variance analysis applicable to hedge funds? Economics Letters, 62 (1), 53–58.10.1016/S0165-1765(98)00140-2Search in Google Scholar

Fung, W. & Hsieh, D.A. (2004). Hedge fund benchmarks: a risk based approach. Financial Analyst Journal, 60 (5), 65–80.10.2469/faj.v60.n5.2657Search in Google Scholar

Harri, A. & Brorsen, B.W. (2004). Performance persistence and the source of returns for hedge funds. Applied Financial Economics, 14 (2), 131–141.10.1080/0960310042000176407Search in Google Scholar

Henker, T. & Martin, G. (1998). Naïve and optimal diversification for managed futures. Journal of Alternative Investments, 1 (1), 25–39.10.3905/jai.1998.407853Search in Google Scholar

Jensen, M.C. (1968). The performance of mutual funds in the period 1945–1964. Journal of Finance, 23 (2), 389–416.10.1111/j.1540-6261.1968.tb00815.xSearch in Google Scholar

Jensen, M.C. (1969). Risk, the pricing of capital assets and the evaluation of investment portfolios. Journal of Business, 42 (2), 167–247.Search in Google Scholar

Kanuri, S. & McLeod, R.W. (2014). Performance of alternative mutual funds: The average investor’s hedge fund. Financial Services Review, 23 (2), 93–121.10.2139/ssrn.2445279Search in Google Scholar

Kooli, M. (2007). The diversification benefits of hedge funds and funds of hedge funds. Derivatives Use, Trading & Regulation, 12 (4), 290–300.10.1057/palgrave.dutr.1850053Search in Google Scholar

Lhabitant, F-S. (2006). Handbook of hedge funds. Hoboken: Wiley.Search in Google Scholar

Liang, B. (1999). On the performance of hedge funds. Financial Analysts Journal, 55 (4), 72–85.10.2469/faj.v55.n4.2287Search in Google Scholar

Mozes, H.A. & Cooks, S. (2012). Evidence in support of shorter-term market timing. Journal of Wealth Management, 15 (2), 36–48.10.3905/jwm.2012.15.2.036Search in Google Scholar

Perez, K. (2012). Efektywność funduszy inwestycyjnych. Podejście techniczne i fundamentalne. Warszawa: Difin.Search in Google Scholar

Schneeweis, T. & Kazemi, H. (2001). Alternative means of replication hedge fund manager performance. University of Massachusetts. Amherst, MA. CISDM/SOM Working Paper.Search in Google Scholar

Schneeweis, T. & Spurgin, R. (1998). Multifactor analysis of hedge fund, managed futures and mutual fund return and risk characteristics. Journal of Alternative Investments, 1 (1), 1–24.10.3905/jai.1998.407852Search in Google Scholar

Soydemir, G., Smolarski, J. & Shin, S. (2014). Hedge funds, fund attributes and risk adjusted returns. Journal of Economics and Finance, 38 (1), 133–149.10.1007/s12197-011-9217-4Search in Google Scholar