Research Associate
HEC - Université de Liège
Bld du Rectorat 7 Bat. B31
email address
Invited Professor
Luxembourg School of Finance
4 Rue Albert Borschette
email address
Research Asociate
Edhec Risk and Management Research Center
58, rue du Port
email address
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Capocci, Daniel P.J.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 11,203
Total Citations 102
1.
Capocci, Daniel P.J. HEC - Université de Liège
4,977(548)
4
hedge fund, performance, persistence, skewness, kurtosis, alpha, beta, hedge, market, market neutral
2.
Capocci, Daniel P.J. HEC - Université de Liège
Posted:
28 Nov 01
Last Revised:
31 Dec 07
3,375(1,112)
28
hedge fund, hedge funds, Performance, Persistence, Carhart, Fama and French, Asian Crisis, Emerging Markets, CAPM, Dissolution frequenties, Survivorship Bias, Correlation, History Bias, Total Returns
3.
Hedge Fund Performance and Persistence in Bull and Bear Markets
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Capocci, Daniel P.J. HEC - Université de Liège
Corhay, A. University of Liege - Department of Financial Management
Hubner, Georges HEC Management School - University of Liège
Posted:
09 Jan 04
Last Revised:
13 Nov 05
1,242(6,438)
13
Hubner, Georges HEC Management School - University of Liège
Corhay, A. University of Liege - Department of Financial Management
Capocci, Daniel P.J. HEC - Université de Liège
0
Hedge funds, funds of funds, selection bias, abnormal returns, bullish market, bearish market, persistence
Capocci, Daniel P.J. HEC - Université de Liège
Corhay, A. University of Liege - Department of Financial Management
Hubner, Georges HEC Management School - University of Liège
1,242
13
Hedge fund, hedge funds, carhart, capocci, hubner, performance, persistence, decile analysis
4.
Capocci, Daniel P.J. HEC - Université de Liège
667(17,121)
3
Hedge fund, return, performance, persistence, sustainability, volatility Sharpe score, alpha, beta, skewness, kurtosis
5.
The Neutrality of Market Neutral Funds
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Capocci, Daniel P.J. HEC - Université de Liège
Posted:
19 Aug 04
Last Revised:
06 Aug 05
458(28,571)
Capocci, Daniel P.J. HEC - Université de Liège
0
Hedge fund, hedge funds, performance, persistence, decile, return, neutrality, beta, market, index
Capocci, Daniel P.J. HEC - Université de Liège
458
Hedge fund, hedge funds, performance, persistence, decile, return, neutrality, beta, market, index
6.
Capocci, Daniel P.J. HEC - Université de Liège
269(54,500)
26
hedge funds, funds of funds, indices, performance, persistence, comparison, correlation, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile, fama, french, carhart, CAPM, Sharpe score, skewness, kurtosis, volatility
7.
The Sustainability of Hedge Fund Performance: New Insights
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Capocci, Daniel P.J. HEC - Université de Liège
Posted:
28 Dec 07
Last Revised:
13 May 08
215(69,385)
28
Capocci, Daniel P.J. HEC - Université de Liège
0
Hedge fund, return, performance, persistence, sustainability, volatility Sharpe ratio, alpha, beta, skewness, kurtosis
Capocci, Daniel P.J. HEC - Université de Liège
215
28
Hedge fund, return, performance, persistence, sustainability, volatility Sharpe ratio, alpha, beta, skewness, kurtosis.
8.
CTA Performance, Survivorship Bias and Dissolution Frequencies
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Capocci, Daniel P.J. HEC - Université de Liège
Posted:
06 Nov 03
Last Revised:
20 Jul 05
Capocci, Daniel P.J. HEC - Université de Liège
0
CTA, commodity trading advisors, performance, survivorship, dissolution frequencies, death rate
Capocci, Daniel P.J. HEC - Université de Liège
0
commodity trading advisors, CTA, managed futures, futures, hedge fund, alternative investments, persistence, performance, Carhart, Capocci, Barclay Trading Group, survivorship bias, dissolution frequencies, dissolution, index
9.
Funds of Hedge Funds versus Portfolios of Hedge Funds - A Comparative Analysis
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Capocci, Daniel P.J. HEC - Université de Liège
Nevolo, Valerie University of Liege - Department of Economics
Posted:
27 Apr 05
Last Revised:
10 Nov 05
Capocci, Daniel P.J. HEC - Université de Liège
Nevolo, Valerie University of Liege - Department of Economics
0
hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile
Capocci, Daniel P.J. HEC - Université de Liège
Nevolo, Valerie University of Liege - Department of Economics
0
hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile
10.
Capocci, Daniel P.J. HEC - Université de Liège
hedge funds, survivorship bias, instant return history bias, correlation analysis, attrition rate, birth rate, sub-period analysis, bull market, bear market, persistence, performance
11.
Funds of Hedge Funds or Investible Hedge Funds Indices: Which is the Best Investment Tool?
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Capocci, Daniel P.J. HEC - Université de Liège
Capocci, David C. D. University of Edinburgh - Management School, Department of Finance
Posted:
17 Apr 05
Last Revised:
05 Oct 05
Capocci, Daniel P.J. HEC - Université de Liège
Capocci, David C. D. University of Edinburgh - Management School, Department of Finance
0
Hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile
Capocci, Daniel P.J. HEC - Université de Liège
Capocci, David C. D. University of Edinburgh - Management School, Department of Finance
0
Hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile
12.
Capocci, Daniel P.J. HEC - Université de Liège
Hubner, Georges HEC Management School - University of Liège
Hedge funds, performance, persistence, Asian crisis, emerging markets, CAPM, dissolution frequenties, survivorship bias, correlation, history bias, total returns
13.
Inserting Convertible Arbitrage Funds in a Classical Portfolio:
An Empirical Assessment
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Capocci, Daniel P.J. HEC - Université de Liège
Posted:
11 Jan 03
Last Revised:
20 Jul 05
Capocci, Daniel P.J. HEC - Université de Liège
0
convertible arbitrage, convertible bonds, empirical analysis, portfolio analysis, diversification
Capocci, Daniel P.J. HEC - Université de Liège
0
convertibles, hedge funds, convertible arbitrage, mean-variance analysis, efficient frontier, spanning, correlation, skewness, kurtosis, portfolio theory, return distribution
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