此論文係以"Mean-Variance"來探討投資人是否可藉由避險基金提升投資機會.
本篇論文用以檢測"Mean-Variance"之統計檢定方式分別為finite sample likelihood ratio test (F test), Lagrange multiplier (LM), Likelihood Ratio (LR), Wald tests (W test), GMM Wald test (Wa test).
資料係由CISDM所取得, CISDM所提供之月報酬資料起迄日為1972年3月至2005年11月,本文之實證結果發現避險基金可以提升mean-variance之效率前緣(意即避險基金可為投資人之投資選擇)

In this thesis, we examine whether investors can improve their investment opportunity sets through the addition of a hedge fund portfolio to a set of benchmark portfolios that are sorted by firm size and book-to-market ratio by using “mean-variance spanning”. We present various approaches that can be used to test whether the mean-variance frontier of an asset spans or intersects the frontier of a larger set of assets. The approaches we used to test the mean-variance spanning are the finite sample likelihood ratio test, Lagrange multiplier, likelihood ratio, Wald tests and the GMM Wald test. Using monthly returns of hedge funds investments from CISDM from March 1972 to November 2005, we conclude that hedge fund portfolios improve the mean-variance frontier set.

CONTENTS
ABSTRACT I
ACKNOWLEDGEMENTS II
CONTENTS IV
APPENDIX VI
LIST OF TABLES VII
LIST OF FIGURES IX
1. INTRODUCTION 1
1.1 BACKGROUND 1
1.2 MOTIVATION AND OBJECTIVE 2
1.3 ORGANIZATION OF THE THESIS 4
2. LITERATURE REVIEW 5
2.1 LITERATURES OF HEDGE FUND 5
2.2 MEAN-VARIANCE SPANNING 8
2.3 HEDGE FUND STUDIES BY USING MEAN-VARIANCE SPANNING 10
3. DATA AND METHODOLOGY 11
3.1 DATA 11
3.2 HEDGE FUND CLASSIFICATION 12
3.3 DESCRIPTIVE STATISTICS 12
3.4 METHODOLOGY 14
4. EMPIRICAL RESULTS 21
4.1 FULL SAMPLE RESULTS 21
4.2 HEDGE FUND PORTFOLIOS SORTED BY FUND TYPE FOCUS 22
4.3 HEDGE FUND PORTFOLIOS SORTED BY FUND STRATEGY AND INDEX TYPE FOCUS 22
4.4 HEDGE FUND PORTFOLIOS SORTED BY SPECIFIC FUND FACTOR FOCUS 25
4.4.1 Redemption Frequency 26
4.4.2 Onshore/Offshore 27
4.4.3 Management Fee Percentage 27
4.4.4 Incentive Fee Percentage 28
4.5 HEDGE FUND PORTFOLIOS SORTED BY SPECIFIC HEDGE FUND STRATEGIES AND FUND FACTOR STYLES：EMERGING MARKETS 30
4.5.1 “Emerging Markets” by “Redemption Frequency” 30
4.5.2 “Emerging Markets” by “Onshore/ Offshore” 31
4.5.3 “Emerging Markets” by “Management Fee Percentage” 31
4.5.4 “Emerging Markets” by “Incentive Fee Percentage” 32
4.6 SHARPE RATIO ANALYSIS 33
5. CONCLUSIONS 35
5.1 CONCLUSIONS OF EMPIRICAL RESULTS 35
5.2 SUGGESTIONS OF THE DATA 36
REFERENCES 38



APPENDIX

APPENDIX 1 GLOSSARY OF TERMS 44
APPENDIX 2 TRADITIONAL INVESTMENTS VS. HEDGE FUND STRATEGIES 45
APPENDIX 3 DEFINITION OF CTA AND CPO 46
APPENDIX 4 DEFINITION OF MAIN HEDGE FUND STRATEGIES 47
APPENDIX 5 CISDM INDEX DESCRIPTIONS 50
APPENDIX 5.1 CISDM HEDGE FUND INDEX DESCRIPTIONS 50
APPENDIX 5.2 CISDM CTA & CPO INDEX DESCRIPTIONS 54
Appendix 5.2.1 Asset Weighted Indexes 54
Appendix 5.2.2 Equal Weighted Indexes 56
APPENDIX 6 RETURNS OF EMERGING MARKET REPORTED BY MSCI 60


LIST OF TABLES
TABLE 1 MONTHLY MEAN RETURNS AND STANDARD DEVIATIONS OF HEDGE FUND PORTFOLIOS AND BENCHMARK PORTFOLIOS 61
PANEL A HEDGE FUND 61
PANEL B BENCHMARK 61
TABLE 2 DESCRIPTIVE STATISTICS FOR MONTHLY CISDM HEDGE FUND RETURNS 62
PANEL A HEDGE FUND INDUSTRY 62
PANEL B COMMODITY POOL OPERATOR (CPOS) 62
PANEL C COMMODITY TRADING ADVISOR (CTAS) 63
PANEL D FUND OF FUNDS (FOFS) 63
PANEL E HEDGE FUNDS 64
PANEL F INDEXES 65
TABLE 3 DESCRIPTIVE STATISTICS FOR MONTHLY CISDM HEDGE FUND AUMS 66
PANEL A HEDGE FUND INDUSTRY 66
PANEL B COMMODITY POOL OPERATOR (CPOS) 66
PANEL C COMMODITY TRADING ADVISOR (CTAS) 66
PANEL D FUND OF FUNDS (FOFS) 67
PANEL E HEDGE FUNDS 67
PANEL F INDEXES 68
PANEL G SUMMARY OF THE UNREPORTED AUM NUMBERS：NUMBER OF MONTHLY RETURN OBSERVATIONS 68
TABLE 4 DESCRIPTIVE STATISTICS FOR MONTHLY LIVED HEDGE FUND NUMBERS FROM MARCH 1972 TO NOVEMBER 2005 69
TABLE 5 SUMMARY OF AGE DISTRIBUTION FOR CISDM HEDGE FUND SAMPLES FROM MARCH 1972 TO NOVEMBER 2005 BY FUND TYPE 70
TABLE 6 SUMMARY OF AGE DISTRIBUTION FOR CISDM HEDGE FUND SAMPLES BY FUND TYPE AND STRATEGY 72
PANEL A HEDGE FUND INDUSTRY 72
PANEL B COMMODITY POOL OPERATOR (CPOS) 73
PANEL C COMMODITY TRADING ADVISOR (CTAS) 73
PANEL D FUND OF FUNDS (FOFS) 74
PANEL E HEDGE FUNDS 75
PANEL F INDEXES 76
TABLE 7 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUNDS INVESTMENT PORTFOLIOS 77
TABLE 8 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUND PORTFOLIOS SORTED BY FUND TYPE 78
TABLE 9 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUND PORTFOLIOS SORTED BY FUND STRATEGIES/ INDEX TYPE 79
PANEL A COMMODITY POOL OPERATOR (CPOS) 79
PANEL B COMMODITY TRADING ADVISOR (CTAS) 79
PANEL C FUND OF FUNDS (FOFS) 80
PANEL D HEDGE FUNDS 81
PANEL E INDEXES 83
TABLE 10 MEAN-VARIANCE SPANNING TESTS OF HEDGE FUND PORTFOLIOS SORTED BY SPECIFIC FACTOR 84
PANEL A REDEMPTION FREQUENCY 84
PANEL B ONSHORE/OFFSHORE 84
PANEL C MANAGEMENT FEE PERCENTAGE 84
PANEL D INCENTIVE FEE PERCENTAGE 85
TABLE 11 MEAN-VARIANCE SPANNING TESTS OF SPECIFIC HEDGE FUND STRATEGIES BY HEDGE FUND FACTOR：EMERGING MARKETS (EMS) 86
PANEL A REDEMPTION FREQUENCY 86
PANEL B ONSHORE/OFFSHORE 86
PANEL C MANAGEMENT FEE PERCENTAGE 86
PANEL D INCENTIVE FEE PERCENTAGE 87
TABLE 12 SUMMARY OF SHARPE RATIO FOR BENCHMARK PORTFOLIOS AND BENCHMARK PORTFOLIOS PLUS HEDGE FUND PORTFOLIO BY CATEGORIES 88
PANEL A HEDGE FUND INDUSTRY 88
PANEL B COMMODITY POOL OPERATOR (CPOS) 88
PANEL C COMMODITY TRADING ADVISOR (CTAS) 88
PANEL D FUND OF FUNDS (FOFS) 89
PANEL F HEDGE FUNDS 89
PANEL G INDEXES 90
TABLE 13 SUMMARY OF SHARPE RATIO FOR BENCHMARK PORTFOLIOS AND BENCHMARK PORTFOLIOS PLUS HEDGE FUND PORTFOLIO BY RANKING 91


LIST OF FIGURES
FIGURE 1 GROWTH TREND OF HEDGE FUND INVESTMENT UNIVERSE FROM MARCH 1972 TO NOVEMBER 2005 93
FIGURE 2 SPECIFIC FUND FACTOR STYLE 94
FIGURE 2.1 LOCKUP PERIOD 94
FIGURE 2.2 REDEMPTION FREQUENCY 94
FIGURE 2.3 MANAGEMENT FEE FREQUENCY 94
FIGURE 2.4 MANAGEMENT FEE PERCENTAGE 94
FIGURE 2.5 INCENTIVE FEE PERCENTAGE 95
FIGURE 2.6 ACTIVE/GRAVEYARD FUND 95
FIGURE 2.7 ONSHORE/OFFSHORE 95
FIGURE 2.8 OPEN US INVESTOR/OPEN OFF SHORE INVESTOR 95
FIGURE 2.9 MARKET FOCUS 96
FIGURE 2.10 SUBSCRIPTION FREQUENCY 96
FIGURE 2.11 PRIVATE/PUBLIC 96
FIGURE 3 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO 97
FIGURE 4 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY FUND TYPE 98
FIGURE 4.1 COMMODITY POOL OPERATOR (CPOS) 98
FIGURE 4.2 COMMODITY TRADING ADVISOR (CTAS) 98
FIGURE 4.3 FUND OF FUNDS (FOFS) 99
FIGURE 4.4 HEDGE FUNDS 99
FIGURE 4.5 INDEXES 100
FIGURE 5 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY STRATEGIC/INDEX TYPE 101
FIGURE 5.1 COMMODITY POOL OPERATOR (CPOS) 101
FIGURE 5.2 COMMODITY TRADING ADVISOR (CTAS) 102
FIGURE 5.3 FUND OF FUNDS (FOFS) 103
FIGURE 5.4 HEDGE FUNDS 107
FIGURE 5.5 INDEXES 118
FIGURE 6 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY SPECIFIC FUND FACTORS 121
FIGURE 6.1 REDEMPTION FREQUENCY 121
FIGURE 6.2 ONSHORE/OFFSHORE 123
FIGURE 6.3 MANAGEMENT FEE PERCENTAGE 125
FIGURE 6.4 INCENTIVE FEE PERCENTAGE 128
FIGURE 7 MEAN-VARIANCE FRONTIERS OF BENCHMARK ASSETS AND BENCHMARK ASSETS PLUS HEDGE FUND PORTFOLIO BY SPECIFIC HEDGE FUND STRATEGIC AND HEDGE FUND FACTOR：EMERGING MARKETS 133
FIGURE 7.1 EMERGING MARKETS BY REDEMPTION FREQUENCY 133
FIGURE 7.2 EMERGING MARKETS BY ONSHORE/OFFSHORE 135
FIGURE 7.3 EMERGING MARKETS BY MANAGEMENT FEE MANAGEMENT 136
FIGURE 7.4 EMERGING MARKETS BY INCENTIVE FEE MANAGEMENT 137
FIGURE 8 BAR CHART OF W AND WA TEST STATISTICS BY HEDGE FUND TYPE 141
FIGURE 9 BAR CHART OF W AND WA TEST STATISTICS BY FUND STRATEGY AND INDEX TYPE FOCUS 142
FIGURE 9.1 COMMODITY POOL OPERATOR (CPOS) 142
FIGURE 9.2 COMMODITY TRADING ADVISOR (CTAS) 142
FIGURE 9.3 FUND OF FUNDS (FOFS) 143
FIGURE 9.4 HEDGE FUND 144
FIGURE 9.5 INDEXES 145
FIGURE 10 BAR CHART OF W AND WA TEST STATISTICS BY SPECIFIC FUND FACTOR 146
FIGURE 10.1 REDEMPTION FREQUENCY 146
FIGURE 10.2 ONSHORE/OFFSHORE 146
FIGURE 10.3 MANAGEMENT FEE PERCENTAGE 147
FIGURE 10.4 INCENTIVE FEE PERCENTAGE 147
FIGURE 11 BAR CHART OF W AND WA TEST STATISTICS OF SPECIFIC HEDGE FUND STRATEGIES BY HEDGE FUND FACTOR：EMERGING MARKETS 148
FIGURE 11.1 EMERGING MARKETS BY REDEMPTION 148
FIGURE 11.2 EMERGING MARKETS BY ONSHORE/OFFSHORE 148
FIGURE 11.3 “EMERGING MARKETS” (EMS) BY “MANAGEMENT FEE PERCENTAGE” 149
FIGURE 11.4 “EMERGING MARKETS” (EMS) BY “INCENTIVE FEE PERCENTAGE” 149

REFERENCES
Ackermann, C., McEnally, R.; Ravenscraft D., 1999, The Performance of Hedge Funds: Risk, Return, and Incentives, Journal of Finance 54, 833-874.
Agarwal, Vikas; Daniel, Naveen D.; Naik, Narayan Y., 2004, Flows, Performance, and Managerial Incentives in Hedge Funds, EFA 2003 Annual Conference Paper No. 501
Agarwal, Vikas; Naik, Narayan Y., 2000a, Performance Evaluation of Hedge Funds with Buy-and-Hold and Option-Based Strategies, EFA 0373; FA Working Paper No. 300
Agarwal, Vikas; Naik, Narayan Y., 2000b, On Taking the ‘Alternative’ Route: The Risks, Rewards, and Performance Persistence of Hedge Funds, Journal of Alternative Investments 2, 6-23.
Agarwal, Vikas; Naik, Narayan Y., 2000c, Multi-Period Performance Persistence Analysis of Hedge Funds Source, Journal of Financial and Quantitative Analysis 35, 327-342.
Agarwal, Vikas; Naik, Narayan Y., 2000d, Generalized Style Analysis of Hedge Funds, Journal of Asset Management 1, 93-109.
Agarwal, Vikas; Naik, Narayan Y., 2004, Risks and Portfolio Decisions Involving Hedge Funds, Review of Financial Studies 17, 63-98.
Amenc, Noel; Martellini, Lionel, 2002, Portfolio Optimization and Hedge Fund Style Allocation Decisions, Journal of Alternative Investments 5, 7-20.
Amin, Gaurav S.; Kat, Harry M, 2003a, Hedge Fund Performance 1990-2000: DO the “Money Machines” Really Add Value?, Journal of Financial and Quantitative Analysis 38, 251-274.
Amin, Gaurav S.; Kat, Harry M., 2003c, Stocks, Bonds, and Hedge Funds, Journal of Portfolio Management 29,113-119.
Asness, Clifford; Krail, Robert; Liew, John, 2001, Do Hedge Funds Hedge?, The Journal of Portfolio Management 28, 6-19.
Bares, Pierre-Antoine; Gibson, Rajna; Gyger, Sebastien, 2003, Style Consistency and Survival Probability in the Hedge Funds’ Industry, unpublished working paper, University of Zurich.
Baquero, Guillermo; Horst, Jenke Ter; Verbeek, Marno, 2004, Survival, Look-Ahead Bias and the Performance of Hedge Funds, to appear in Journal of Financial and Quantitative Analysis.
Bekaert, G.eert; Urias, Michael S. Urias, 1996, Diversification, integration and emerging market closed-end funds, Journal of Finance 51, 835–869.
Boyson, N., 2002, How Are Hedge Fund Manager Characteristics Related to Performance, Volatility and Survival?, unpublished working paper, Ohio State University.
Brown, Stephen J.; Goetzmann, William N., 2003, Hedge Funds With Style, Journal of Portfolio Management 29, 101-112.
Brown, Stephen J.; Goetzmann, William; Ibbotson, Roger; Ross, Stephen A., 1992, Survivorship Bias in Performance Studies, Review of Financial Studies 5, 553-580.
Brown, Stephen J.; Goetzmann, William N.; Ibbotson, Robert G., 1999, Offshore Hedge Funds: Survival and Performance, 1989-95, Journal of Business 72, 91-117.
Brown, Stephen J.; Goetzmann, William N.; Park, James M, 2000, Hedge Funds and the Asian Currency Crisis, Journal of Portfolio Management 26, 95-101.
Brown, Stephen J.; Goetzmann, William N.; Park, James M., 2001a, Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs, Yale School of Management Working Paper No. F-59.
Brown, Stephen J.; Goetzmann, William N.; Park, James M, 2001b, Careers and Survival: Competition and Risks in the Hedge Fund and CTA Industry, Journal of Finance 56, 1869-1886.
Cremers, Jan-Hein; Kritzman, Mark; Page, Sebastien, 2004, Optimal Hedge Fund Allocations: Do Higher Moments Matter?, Revere Street Working Paper No. 272-13.
Cumby, Robert E.; Glen, Jack D., 1990, Evaluating the Performance of International Mutual Funds, Journal of Finance 45, 497–521.
DeRoon, F.A.; Nijman, T.E., 2001, Testing for Mean-Variance Spanning: A Survey, Journal of Empirical Finance 8, 111-155.
DeRoon, F.A.; Nijman, T.E., 2001, Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets, Journal of Finance 56, 721-742.
DeSantis, Giorgio, 1993, Volatility bounds for stochastic discount factors: tests and implications from international financial markets, Ph.D. dissertation, Department of Economics, University of Chicago.
DeSantis, G., 1994, Asset Pricing and Portfolio Diversification: Evidence from Emerging Financial. In: Howell, M. Ed., Investing in Emerging Markets, Euromoney Books, London
DeSantis, G., 1995, Volatility Bounds for Stochastic Discount Factors: Tests and Implications from International Financial Markets, Working Paper, University of Southern California.
Edwards, Franklin R.; Caglayan, Mustafa Onur, 2001, Hedge Fund and Commodity Fund Investments in Bull and Bear Markets, The Journal of Portfolio Management 27, 97-108.
Errtunza, Vthang; Hogan, Ked; Hung ,Mao-Wei, 1999, Can the gains from international diversification be achieved without trading abroad? Journal of Finance 54, 2075-2107.
Farmer, J. Doyne; Lo, Andrew W, 1999, Frontiers of finance: Evolution and efficient markets, Proceedings of the National Academy of Sciences 96, 9991-9992.
Feffer, S. and C. Kundro, 2003, “Understanding and Mitigating Operational Risk in Hedge Fund Investments”, unpublished working paper, The Capital Markets Company Ltd.
Ferson, Wayne, 1995, Theory and empirical testing of asset pricing models, Chapter 5 in Finance, Handbooks in Operations Research and Management Science ( Jarrow, Robert.A.; Maksimovic, Vojislav; Ziemba, William T. (editors ), Elsevier, 145-200.
Ferson, Wayne E.; Foerster, Stephen R.; Keim, Donald B, 1993, General Tests of Latent Variable Models and Mean-Variance Spanning, Journal of Finance 48, 131–156
Fung, William; Hsieh, David A., 1997a, Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds, Review of Financial Studies 10, 275-302.
Fung, William; Hsieh, David A., 1997b, Survivorship Bias and Investment Style in the Returns of CTAs, Journal of Portfolio Management 24, 30-41.
Fung, William; Hsieh, David A., 1999, A Primer on Hedge Funds, Journal of Empirical Finance 6, 309-31.
Fung, William; Hsieh, David A., 2000, Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases, Journal of Financial and Quantitative Analysis 35, 291-307.
Fung, William; Hsieh, David A., 2001, The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers, Review of Financial Studies 14, 313-341.
Fung, William; Hsieh, David A., 2002a, Asset-Based Style Factors for Hedge Funds, Financial Analysts Journal 58, 16-27.
Fung, William; Hsieh, David A., 2002b, Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases, Journal of Alternative Investments 58, 22-34.
Getmansky, Mila, 2004, The Life Cycle of Hedge Funds: Fund Flows, Size and Performance, unpublished working paper, MIT Laboratory for Financial Engineering.
Getmansky, M. and Lo, Andrew W., 2005, A System Dynamics Model of the Hedge Fund Industry, unpublished working paper, MIT Laboratory for Financial Engineering.
Getmansky, Mila; Lo, Andrew W.; Makarov, Igor, 2004, An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74, 529-609.
Getmansky, Mila; Lo, Andrew W.; Mei, Shauna X, 2004, Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations, Journal of Investment Management 2, 6-38.
Glen, Jack; Jorion, Philippe, 1993, Currency Hedging for International Portfolios, Journal of Finance 48, 1865–1886.
Hansen, Lars Peter; Jagannathan, Ravi, 1991, Implications of security market data for models of dynamic economies, Journal of Political Economy 99, 225-262.
Huberman, Gur; Kandel, Shmuel, 1987, Mean-Variance spanning, Journal of Finace 42, 873-888.
Jen, Patricia; Heasman, Chris and Boyatt, Kit, 2001, Alternative Asset Strategies: Early Performance in Hedge Fund Managers, Internal Document, Lazard Asset Management, London.
Kao, Duen-Li, 2002, Battle for Alphas: Hedge Funds versus Long-Only Portfolios, Financial Analysts Journal 58, 16-36.
Kaplan, Steven N.; Schoar, Antoinette, 2005, Private Equity Performance: Returns, Persistence and Capital Flows, Journal of Finance 60, 1791-1823
Kan, Raymond; Zhou, G.uofu, 2001, Test of Mean-Variance Spanning, Working Paper, University of Toronto
Brooks, Chris; Kat, Harry M., 2002, The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors, Journal of Alternative Investments 5, 25-44.
Kramer, Daniel J., 2001, Hedge Fund Disasters: Avoiding the Next Catastrophe, Alternative Investment Quarterly 1.
Liang, Bing, 1999, On the Performance of Hedge Funds, Financial Analysts Journal 55, 72-85.
Liang, Bing, 2000, Hedge Funds: The Living and the Dead, Journal of Financial and Quantitative Analysis 35, 309-326.
Liang, Bing, 2001, Hedge Fund Performance: 1990-1999, Financial Analysts Journal 57, 11-18.
Liang, Bing, 2003, The Accuracy of Hedge Fund Returns, Journal of Portfolio Management 29, 111-122.
Lo, Andrew W., 2001, Risk Management for Hedge Funds: Introduction and Overview, Financial Analysts Journal 57, 16-33.
Lo, Andrew W., 2002, The Statistics of Sharpe Ratios, Financial Analysts Journal 58, 36-50.
Lochoff, Roland, 2002, Hedge Funds and Hope, The Journal of Portfolio Management 28,92-99.
Mitchell, Mark; Pulvino, Todd, T., 2001, Characteristics of Risk and Return in Risk Arbitrage, Journal of Finance, 56, 2135-2175.
Schneeweis, Thomas; Spurgin, Richard; McCarthy, D., 1996, Survivor Bias in Commodity Trading Advisor Performance, Journal of Futures Markets 16, 757-772.
Schneeweis, Thomas; Kazemi, Hossein and Martin, George, 2001, Understanding Hedge Fund Performance: Research Results and Rules of Thumb for the Institutional Investor, Working Paper, Lehman Brothers Capital Introductions Group.
Schneeweis, Thomas; Kazemi, Hossein; Martin, George, 2002, Understanding Hedge Fund Performance: Research Issues Revisited---Part I 5, 6-22
Schneeweis, Thomas; Kazemi, Hossein; Martin, George, 2002, Understanding Hedge Fund Performance: Research Issues Revisited--Part II 5, 8-30
Schneeweis, Thomas; Spurgin, Richard, 1998, Multifactor Analysis of Hedge Fund, Managed Futures and Mutual Fund Return and Risk Characteristics, Journal of Alternative Investments 1, 1-24.
Schneeweis, Thomas; Pescatore, Joseph (editors), 1999, The Handbook of Alternative Investment Strategies: An Investor’s Guide. Institutional Investor.
Snow, Karl N., 1991, Diagnosing Asset Pricing Models Using the Distribution of Asset Returns, Journal of Finance 46, 955-983.
Terhaar, Kevin; Staub, Renato; Singer, Brian, 2003, Appropriate Policy Allocation for Alternative Investments, Journal of Portfolio Management, 29, 101-110.