Daniel P.J. Capocci

HEC - Université de Liège

Research Associate

Bld du Rectorat 7 Bat. B31

Liege, 4000

Belgium

Luxembourg School of Finance

Invited Professor

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

Edhec Risk and Management Research Center

Research Asociate

58, rue du Port

59046 Lille Cedex

France

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 2,095

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Top 2,095

in Total Papers Downloads

12,970

CITATIONS
Rank 5,079

SSRN RANKINGS

Top 5,079

in Total Papers Citations

102

Scholarly Papers (13)

1.

Ph.D Thesis: An Analysis of Hedge Fund Strategies

Number of pages: 456 Posted: 18 Sep 2007
Daniel P.J. Capocci
HEC - Université de Liège
Downloads 5,742 (729)
Citation 4

Abstract:

hedge fund, performance, persistence, skewness, kurtosis, alpha, beta, hedge, market, market neutral

2.

An Analysis of Hedge Fund Performance 1984-2000

Number of pages: 44 Posted: 28 Nov 2001 Last Revised: 31 Dec 2007
Daniel P.J. Capocci
HEC - Université de Liège
Downloads 3,508 (1,900)
Citation 28

Abstract:

hedge fund, hedge funds, Performance, Persistence, Carhart, Fama and French, Asian Crisis, Emerging Markets, CAPM, Dissolution frequenties, Survivorship Bias, Correlation, History Bias, Total Returns

Hedge Fund Performance and Persistence in Bull and Bear Markets

Number of pages: 40 Posted: 09 Jan 2004
Daniel P.J. Capocci, A. Corhay and Georges Hubner
HEC - Université de Liège, University of Liege - Department of Financial Management and HEC Management School - University of Liège
Downloads 1,339 (10,449)
Citation 13

Abstract:

Hedge fund, hedge funds, carhart, capocci, hubner, performance, persistence, decile analysis

Hedge Fund Performance and Persistence in Bull and Bear Markets

European Journal of Finance, Vol. 11, No. 5, pp. 361-392, October 2005
Posted: 13 Nov 2005
Georges Hubner, A. Corhay and Daniel P.J. Capocci
HEC Management School - University of Liège, University of Liege - Department of Financial Management and HEC - Université de Liège

Abstract:

Hedge funds, funds of funds, selection bias, abnormal returns, bullish market, bearish market, persistence

4.

The Sustainability in Hedge Fund Performance: New Insights

Number of pages: 41 Posted: 13 Jul 2007
Daniel P.J. Capocci
HEC - Université de Liège
Downloads 686 (28,820)
Citation 3

Abstract:

Hedge fund, return, performance, persistence, sustainability, volatility Sharpe score, alpha, beta, skewness, kurtosis

The Neutrality of Market Neutral Funds

Number of pages: 40 Posted: 19 Aug 2004
Daniel P.J. Capocci
HEC - Université de Liège
Downloads 498 (43,913)

Abstract:

Hedge fund, hedge funds, performance, persistence, decile, return, neutrality, beta, market, index

The Neutrality of Market Neutral Funds

Global Finance Journal, June 2005
Posted: 04 Aug 2005
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

Hedge fund, hedge funds, performance, persistence, decile, return, neutrality, beta, market, index

6.

Multilpe Analysis of Hedge Fund Return Persistence

Number of pages: 41 Posted: 26 Apr 2005
Daniel P.J. Capocci
HEC - Université de Liège
Downloads 283 (84,175)
Citation 26

Abstract:

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

The Sustainability of Hedge Fund Performance: New Insights

Journal of Financial Management Vol. 1, No. 2, 2007
Number of pages: 40 Posted: 28 Dec 2007
Daniel P.J. Capocci
HEC - Université de Liège
Downloads 242 (102,204)
Citation 28

Abstract:

Hedge fund, return, performance, persistence, sustainability, volatility Sharpe ratio, alpha, beta, skewness, kurtosis.

The Sustainability of Hedge Fund Performance: New Insights

Journal of Management Science, Vol. 1, No. 2, pp. 59-86, 2007
Posted: 13 May 2008
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

Hedge fund, return, performance, persistence, sustainability, volatility Sharpe ratio, alpha, beta, skewness, kurtosis

8.

Comparative Analysis of Hedge Fund Returns

Posted: 14 Jun 2005
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

hedge funds, survivorship bias, instant return history bias, correlation analysis, attrition rate, birth rate, sub-period analysis, bull market, bear market, persistence, performance

Funds of Hedge Funds versus Portfolios of Hedge Funds - A Comparative Analysis

Posted: 27 Apr 2005
Daniel P.J. Capocci and Valerie Nevolo
HEC - Université de Liège and University of Liege - Department of Economics

Abstract:

hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile

Funds of Hedge Funds versus Portfolios of Hedge Funds - A Comparative Analysis

HEDGE FUNDS: INSIGHTS IN PERFORMANCE MEASUREMENT, RISK ANALYSIS, AND PORTFOLIO ALLOCATION, Chapter 3, John Wiley and Sons, New York, 2005
Posted: 20 Jul 2005
Daniel P.J. Capocci and Valerie Nevolo
HEC - Université de Liège and University of Liege - Department of Economics

Abstract:

hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile

Funds of Hedge Funds or Investible Hedge Funds Indices: Which is the Best Investment Tool?

Posted: 17 Apr 2005
Daniel P.J. Capocci and David C. D. Capocci
HEC - Université de Liège and University of Edinburgh - Management School, Department of Finance

Abstract:

Hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile

Funds of Hedge Funds or Investible Hedge Funds Indices: Which is the Best Investment Tool?

STOCK EXCHANGES, IPO'S AND MUTUAL FUNDS, pp. 137-158, Nova Science Publisher, New York, 2005
Posted: 20 Jul 2005
Daniel P.J. Capocci and David C. D. Capocci
HEC - Université de Liège and University of Edinburgh - Management School, Department of Finance

Abstract:

Hedge funds, funds of funds, investible indices, performance, comparison, correlaiton, correlation coefficient, risk, return, traditional financial assets, alternative investments, risk-return profile

CTA Performance, Survivorship Bias and Dissolution Frequencies

Posted: 06 Nov 2003
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

commodity trading advisors, CTA, managed futures, futures, hedge fund, alternative investments, persistence, performance, Carhart, Capocci, Barclay Trading Group, survivorship bias, dissolution frequencies, dissolution, index

CTA Performance, Survivorship Bias and Dissolution Frequencies

COMMODITY TRADING ADVISORS: RISK, PERFORMANCE, ANALYSIS AND SELECTION, Chapter 4, John Wiley and Sons, New York, 2004
Posted: 20 Jul 2005
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

CTA, commodity trading advisors, performance, survivorship, dissolution frequencies, death rate

12.

An Analysis of Hedge Fund Performance

Journal of Empirical Finance Journal of Empirical Finance, Vol. 11, No. 1, pp. 55-89, January 2004
Posted: 15 Apr 2003
Daniel P.J. Capocci and Georges Hubner
HEC - Université de Liège and HEC Management School - University of Liège

Abstract:

Hedge funds, performance, persistence, Asian crisis, emerging markets, CAPM, dissolution frequenties, survivorship bias, correlation, history bias, total returns

Inserting Convertible Arbitrage Funds in a Classical Portfolio: An Empirical Assessment

Posted: 11 Jan 2003
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

convertibles, hedge funds, convertible arbitrage, mean-variance analysis, efficient frontier, spanning, correlation, skewness, kurtosis, portfolio theory, return distribution

Inserting Convertible Arbitrage Funds in a Classical Portfolio: An Empirical Assessment

HEDGE FUNDS STRATEGIES: RISK ASSESSMENT AND RETURNS, Beard Books, Washington, 2004
Posted: 20 Jul 2005
Daniel P.J. Capocci
HEC - Université de Liège

Abstract:

convertible arbitrage, convertible bonds, empirical analysis, portfolio analysis, diversification