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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

77 Bastwick Street

London, EC1V 3PZ

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

  • Imperial College Business School

    • Email
    • Tel: +442075943294

  • CEPR (Centre for Economic Policy Research)

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

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 702

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Top 702

in Total Papers Downloads

25,806

CITATIONS
Rank 2,023

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Top 2,023

in Total Papers Citations

276

Scholarly Papers (16)

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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 4,761 (596)

Abstract:

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 4,349 (778)
Citation 1

Abstract:

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

3.

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

Downloads 2,122 ( 4,907)
Citation 29

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 2,122 (4,802)
Citation 29

Abstract:

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

Abstract:

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

4.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Downloads 1,924 ( 5,750)
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 1,924 (5,625)
Citation 86

Abstract:

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

Abstract:

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

5.

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

Downloads 1,778 ( 6,636)
Citation 8

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
The University of Chicago, Imperial College Business School and University of Geneva
Downloads 1,778 (6,489)
Citation 8

Abstract:

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
The University of Chicago, Imperial College Business School and University of Geneva

Abstract:

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

6.

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Downloads 1,546 ( 8,432)
Citation 14

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,546 (8,271)
Citation 14

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

Abstract:

Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

7.

Hedge Fund Performance: What Do We Know?

Number of pages: 68 Posted: 22 Jan 2012 Last Revised: 01 Jun 2016
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
University of Oulu, Imperial College Business School and University of Oulu
Downloads 1,319 (6,261)
Citation 1

Abstract:

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

8.

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

Downloads 1,132 ( 13,916)
Citation 132

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 G. Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,132 (13,634)
Citation 132

Abstract:

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 G. Timmermann, Russ Wermers and Halbert L. White, Jr.
Imperial College Business School, University of California, San Diego (UCSD) - Department of Economics, University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics

Abstract:

mutual funds, performance evaluation, bootstrap

9.

Hedge Fund Return Predictability Under the Magnifying Glass

Downloads 668 ( 30,224)
Citation 3

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, McGill University - Desautels Faculty of Management and Imperial College Business School
Downloads 668 (29,744)
Citation 3

Abstract:

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
Hebrew University of Jerusalem - Jerusalem School of Business Administration, McGill University - Desautels Faculty of Management and Imperial College Business School

Abstract:

Hedge Fund Performance, Return Predictability, Combination Forecasts

10.

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

Downloads 580 ( 36,504)

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
The University of Chicago, Imperial College Business School and Imperial College Business School
Downloads 580 (35,957)

Abstract:

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
The University of Chicago, Imperial College Business School and Imperial College Business School

Abstract:

Optimal portfolio choice, Euler equation, Hedge fund performance

11.

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 298 (75,920)
Citation 1

Abstract:

Hedge funds, bootstrap, alpha, persistence

12.

The Effect of Investment Constraints on Hedge Fund Investor Returns

Number of pages: 56 Posted: 03 Dec 2013 Last Revised: 01 Jun 2016
Juha Joenväärä, Robert Kosowski and Pekka Tolonen
University of Oulu, Imperial College Business School and University of Oulu
Downloads 224 (80,004)

Abstract:

Hedge Fund Performance, Persistence, Frictions, Managerial Skill

13.

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

Downloads 211 (117,705)

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

Number of pages: 79 Posted: 24 Apr 2015 Last Revised: 21 Apr 2016
Juha Joenväärä and Robert Kosowski
University of Oulu and Imperial College Business School
Downloads 211 (117,322)

Abstract:

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 and Imperial College Business School
Downloads 0

Abstract:

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 113 (170,743)

Abstract:

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 80 (199,078)

Abstract:

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

16.

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 London, Imperial College Business School and Imperial College Business School

Abstract:

Short-term reversal, Liquidity, Market closure

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