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The Risk in Hedge Fund Strategies: Theory and Evidence from Trend FollowersWilliam Fung; David A. HsiehThe Review of Financial Studies, Vol. 14, No. 2. (Summer, 2001), pp. 313-341.Stable URL:http://links.jstor.org/sici?sici O%3B2-ZThe Review of Financial Studies is currently published by Oxford University Press.Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available athttp://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtainedprior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content inthe JSTOR archive only for your personal, non-commercial use.Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained athttp://www.jstor.org/journals/oup.html.Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printedpage of such transmission.JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. Formore information regarding JSTOR, please contact support@jstor.org.http://www.jstor.orgFri Jan 5 01:05:44 2007
http://www.jstor.orgLINKED CITATIONS- Page 1 of 3 -You have printed the following article:The Risk in Hedge Fund Strategies: Theory and Evidence from Trend FollowersWilliam Fung; David A. HsiehThe Review of Financial Studies, Vol. 14, No. 2. (Summer, 2001), pp. 313-341.Stable URL:http://links.jstor.org/sici?sici O%3B2-ZThis article references the following linked citations. If you are trying to access articles from anoff-campus location, you may be required to first logon via your library web site to access JSTOR. Pleasevisit your library's website or contact a librarian to learn about options for remote access to JSTOR.[Footnotes]3The Performance of Mutual Funds in the Period 1945-1964Michael C. JensenThe Journal of Finance, Vol. 23, No. 2, Papers and Proceedings of the Twenty-Sixth AnnualMeeting of the American Finance Association Washington, D.C. December 28-30, 1967. (May,1968), pp. 389-416.Stable URL:http://links.jstor.org/sici?sici O%3B2-G3Portfolio Performance Evaluation: Old Issues and New InsightsMark Grinblatt; Sheridan TitmanThe Review of Financial Studies, Vol. 2, No. 3. (1989), pp. 393-421.Stable URL:http://links.jstor.org/sici?sici B2-83On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:http://links.jstor.org/sici?sici O%3B2-INOTE: The reference numbering from the original has been maintained in this citation list.
http://www.jstor.orgLINKED CITATIONS- Page 2 of 3 -3On Market Timing and Investment Performance. II. Statistical Procedures for EvaluatingForecasting SkillsRoy D. Henriksson; Robert C. MertonThe Journal of Business, Vol. 54, No. 4. (Oct., 1981), pp. 513-533.Stable URL:http://links.jstor.org/sici?sici O%3B2-D7On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:http://links.jstor.org/sici?sici O%3B2-I10On Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:http://links.jstor.org/sici?sici O%3B2-IReferencesThe Pricing of Options and Corporate LiabilitiesFischer Black; Myron ScholesThe Journal of Political Economy, Vol. 81, No. 3. (May - Jun., 1973), pp. 637-654.Stable URL:http://links.jstor.org/sici?sici 2.0.CO%3B2-PEmpirical Characteristics of Dynamic Trading Strategies: The Case of Hedge FundsWilliam Fung; David A. HsiehThe Review of Financial Studies, Vol. 10, No. 2. (Summer, 1997), pp. 275-302.Stable URL:http://links.jstor.org/sici?sici O%3B2-JNOTE: The reference numbering from the original has been maintained in this citation list.
http://www.jstor.orgLINKED CITATIONS- Page 3 of 3 -Path Dependent Options: "Buy at the Low, Sell at the High"M. Barry Goldman; Howard B. Sosin; Mary Ann GattoThe Journal of Finance, Vol. 34, No. 5. (Dec., 1979), pp. 1111-1127.Stable URL:http://links.jstor.org/sici?sici 0.CO%3B2-XPortfolio Performance Evaluation: Old Issues and New InsightsMark Grinblatt; Sheridan TitmanThe Review of Financial Studies, Vol. 2, No. 3. (1989), pp. 393-421.Stable URL:http://links.jstor.org/sici?sici B2-8On Market Timing and Investment Performance. II. Statistical Procedures for EvaluatingForecasting SkillsRoy D. Henriksson; Robert C. MertonThe Journal of Business, Vol. 54, No. 4. (Oct., 1981), pp. 513-533.Stable URL:http://links.jstor.org/sici?sici O%3B2-DThe Performance of Mutual Funds in the Period 1945-1964Michael C. JensenThe Journal of Finance, Vol. 23, No. 2, Papers and Proceedings of the Twenty-Sixth AnnualMeeting of the American Finance Association Washington, D.C. December 28-30, 1967. (May,1968), pp. 389-416.Stable URL:http://links.jstor.org/sici?sici O%3B2-GOn Market Timing and Investment Performance. I. An Equilibrium Theory of Value forMarket ForecastsRobert C. MertonThe Journal of Business, Vol. 54, No. 3. (Jul., 1981), pp. 363-406.Stable URL:http://links.jstor.org/sici?sici O%3B2-INOTE: The reference numbering from the original has been maintained in this citation list.
3 On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skil
