Robert Kosowski

Imperial College Business School

Associate Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www3.imperial.ac.uk/people/r.kosowski

CEPR (Centre for Economic Policy Research)

Research Fellow

London

United Kingdom

http://www.cepr.org/

University of Oxford, Oxford-Man Institute of Quantitative Finance

Associate Member

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

Unigestion UK

Head of Quantitative Research

4 Stratford Place

London, W1C1AT

United Kingdom

  • Imperial College Business School

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    • Tel: +442075943294

  • CEPR (Centre for Economic Policy Research)

  • University of Oxford, Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

18

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CITATIONS
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Top 2,056

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273

Scholarly Papers (18)

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1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 9,038 (512)

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Trend-following, Momentum, Constant-volatility, Volatility-targeting, Trading rules, Pairwise correlations, Diversification, Transaction costs, Turnover

2.

Momentum Strategies in Futures Markets and Trend-following Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 12 Oct 2015
Nick Baltas and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 7,295 (750)
Citation 1

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Trend-following, Momentum, Managed Futures, CTA, Capacity Constraints

3.

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

Downloads 2,521 ( 4,723)

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

Number of pages: 70 Posted: 22 Jan 2012 Last Revised: 02 Apr 2019
Juha Joenväärä, Mikko Kauppila, Robert Kosowski and Pekka Tolonen
University of Oulu - Economics, University of Oulu, Imperial College Business School and University of Oulu
Downloads 2,521 (4,630)

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Hedge fund performance, persistence, sample selection bias, managerial skill

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

Critical Finance Review, Forthcoming
Posted: 25 Mar 2019 Last Revised: 02 Apr 2019
Juha Joenväärä, Mikko Kauppila, Robert Kosowski and Pekka Tolonen
University of Oulu - Economics, University of Oulu, Imperial College Business School and University of Oulu

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Hedge fund performance, persistence, sample selection bias, managerial skill

4.

Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Downloads 2,374 ( 5,227)
Citation 30

Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Number of pages: 53 Posted: 30 Aug 2006 Last Revised: 02 Sep 2011
Robert Kosowski
Imperial College Business School
Downloads 2,374 (5,110)
Citation 30

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mutual funds, portfolio choice, asset pricing, asymmetric information, business cycles, Markov-switching models

Do Mutual Funds Perform When it Matters Most to Investors? U.S. Mutual Fund Performance and Risk in Recessions and Expansions

Quarterly Journal of Finance, Vol. 1, No. 3, November 2011
Posted: 25 Aug 2011 Last Revised: 05 Sep 2011
Robert Kosowski
Imperial College Business School

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mutual funds, portfolio choice, asset pricing, asymmetric information, business cycles, Markov-switching models

5.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Downloads 2,037 ( 6,747)
Citation 86

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Number of pages: 47 Posted: 01 Nov 2005
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 2,037 (6,603)
Citation 86

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hedge fund, persistence, Bayesian, alpha, backfill, incubation, bootstrap

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Journal of Financial Economics (JFE), Vol. 84, No. 1, 2007
Posted: 19 Dec 2011
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

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Hedge fund performance, Persistence, Alpha, Factor models, Bayesian, Bootstrap

6.

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Downloads 1,911 ( 7,550)

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 80 Posted: 15 Jul 2010 Last Revised: 16 Nov 2013
Andrea Buraschi, Robert Kosowski and Fabio Trojani
University of Chicago - Booth School of Business, Imperial College Business School and Swiss Finance Institute
Downloads 1,911 (7,399)
Citation 8

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

When There Is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Review of Financial Studies, 2014, Vol. 27 No.2, 581-616
Posted: 12 Oct 2013 Last Revised: 08 Apr 2014
Andrea Buraschi, Robert Kosowski and Fabio Trojani
University of Chicago - Booth School of Business, Imperial College Business School and Swiss Finance Institute

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

7.

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Downloads 1,608 ( 10,054)
Citation 15

Hedge Funds, Managerial Skill, and Macroeconomic Variables

AFA 2008 New Orleans Meetings Paper
Number of pages: 47 Posted: 22 Mar 2007 Last Revised: 15 Nov 2013
Doron Avramov, Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,608 (9,874)
Citation 15

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hedge funds, predictability, managerial skills, macroeconomic variables

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Journal of Financial Economics, Vol. 99, Issue 3, pp. 672-692, March 2011
Posted: 22 Feb 2010 Last Revised: 15 Nov 2013
Doron Avramov, Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

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Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

8.

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Downloads 1,175 ( 16,523)

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Number of pages: 56 Posted: 28 Nov 2005 Last Revised: 17 Oct 2013
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,175 (16,196)
Citation 130

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mutual funds, performance evaluation, bootstrap

Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis

Journal of Finance, Vol. 61, No. 6, December 2006
Posted: 19 Dec 2011
Robert Kosowski, Allan Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, UCSD, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

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mutual funds, performance evaluation, bootstrap

9.

Hedge Fund Return Predictability Under the Magnifying Glass

Downloads 725 ( 33,189)
Citation 2

Hedge Fund Return Predictability Under the Magnifying Glass

Number of pages: 69 Posted: 01 Aug 2010 Last Revised: 12 Jul 2013
Doron Avramov, Laurent Barras and Robert Kosowski
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 725 (32,694)
Citation 2

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Hedge Fund Performance, Return Predictability, Combination Forecasts

Hedge Fund Return Predictability Under the Magnifying Glass

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Mar 2012
Doron Avramov, Laurent Barras and Robert Kosowski
Interdisciplinary Center (IDC) Herzliyah, McGill University - Desautels Faculty of Management and Imperial College Business School

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Hedge Fund Performance, Return Predictability, Combination Forecasts

10.

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

Downloads 607 ( 42,070)

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

AFA 2012 Chicago Meetings Paper
Number of pages: 83 Posted: 20 Mar 2011 Last Revised: 28 May 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
University of Chicago - Booth School of Business, Imperial College Business School and Imperial College Business School
Downloads 607 (41,491)

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Optimal portfolio choice, Euler equation, hedge fund performance

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

Journal of Finance, Forthcoming
Posted: 15 Sep 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
University of Chicago - Booth School of Business, Imperial College Business School and Imperial College Business School

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Optimal portfolio choice, Euler equation, Hedge fund performance

11.

The Effect of Investment Constraints on Hedge Fund Investor Returns

Downloads 422 ( 66,575)

The Effect of Investment Constraints on Hedge Fund Investor Returns

Number of pages: 83 Posted: 03 Dec 2013 Last Revised: 14 Jan 2018
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
University of Oulu - Economics, Imperial College Business School and University of Oulu
Downloads 422 (65,951)

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Hedge Fund Performance, Persistence, Frictions, Managerial Skill

The Effect of Investment Constraints on Hedge Fund Investor Returns

CEPR Discussion Paper No. DP12599
Number of pages: 86 Posted: 22 Jan 2018
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
University of Oulu - Economics, Imperial College Business School and University of Oulu
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frictions, Hedge Fund Performance, Managerial Skill, Persistence

The Effect of Investment Constraints on Hedge Fund Investor Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 19 Jan 2018
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
University of Oulu - Economics, Imperial College Business School and University of Oulu

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Hedge Fund Performance, Persistence, Frictions, Managerial Skill

12.

Is Stellar Hedge Fund Performance for Real?

Number of pages: 50 Posted: 12 Mar 2005
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 333 (87,775)
Citation 1

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Hedge funds, bootstrap, alpha, persistence

13.

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

Downloads 299 ( 98,766)

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

Number of pages: 59 Posted: 24 Apr 2015 Last Revised: 16 Sep 2017
Juha Joenväärä and Robert Kosowski
University of Oulu - Economics and Imperial College Business School
Downloads 299 (98,270)

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hedge fund performance, mutual fund performance, managerial skill, regulation

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

CEPR Discussion Paper No. DP10577
Number of pages: 79 Posted: 05 May 2015
Juha Joenväärä and Robert Kosowski
University of Oulu - Economics and Imperial College Business School
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hedge fund performance, managerial skill, mutual fund performance, regulation

14.

Rothschild Bank AG

Teaching Note, 2005, INSEAD Case Study No. 06/2005-5265
Number of pages: 2 Posted: 21 Dec 2011 Last Revised: 11 Jan 2012
Bernard Dumas and Robert Kosowski
INSEAD and Imperial College Business School
Downloads 165 (176,384)

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Private banking, Asset management; Behavioural finance and asset allocation, Mutual and hedge funds allocation, Family offices, Trust services, Offshore banking, Switzerland, Private banking, CHF10 billion assets under management

15.

Managing Capital Market Risk for Retirement

Pension Research Council WP 2013-23
Number of pages: 38 Posted: 20 Nov 2013
Enrico Biffis and Robert Kosowski
Imperial College Business School and Imperial College Business School
Downloads 126 (219,646)

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Pension Liabilities, Liability-Driven Investment, Cross-Asset Correlation, Collateralization, Pension Buyouts, Over-the-Counter OTC Instruments

16.

The Correlation Risk Premium: International Evidence

Number of pages: 38 Posted: 26 Nov 2018
Gonçalo Faria, Robert Kosowski and Tianyu Wang
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE, Imperial College Business School and School of Economics and Management, Tsinghua University
Downloads 74 (312,253)

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Correlation Risk Premium, International Equity Option Markets, Global Correlation Risk

17.

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

CEPR Discussion Paper No. DP13618
Number of pages: 73 Posted: 01 Apr 2019 Last Revised: 16 Apr 2019
Juha Joenväärä, Mikko Kaupila, Robert Kosowski and Pekka Tolonen
University of Oulu - Economics, University of Oulu, Imperial College Business School and University of Oulu
Downloads 2 (621,223)
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Hedge Fund Performance, Managerial Skill, Persistence, Sample selection bias

18.

Market Closure and Short-Term Reversal

Asian Finance Association (AsianFA) 2016 Conference
Posted: 11 Feb 2016
Pasquale Della Corte, Robert Kosowski and Tianyu Wang
Imperial College Business School, Imperial College Business School and Tsinghua University

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Short-term reversal, Liquidity, Market closure