Robert Kosowski

Associate Professor of Finance, Imperial College London

Robert Kosowski's research interests include asset management, asset pricing and financial econometrics with a focus on hedge and mutual funds, performance measurement, asset allocation, business cycles and derivative trading strategies.

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Working Paper

Joenvaara, J. and Kosowski, R. (2013). Geography, liquidity and fund performance: new evidence from UCITS hedge funds.
Joenvaara, J., Kosowski, R. and Tolonen, P. (2014). Hedge fund performance – What do we know?.
Baltas, A.N. and Kosowski, R. (2013). Improving time-series momentum strategies: the role of trading signals and volatility estimators.
Baltas, A.N. and Kosowski, R. (2013). Momentum and trend-following strategies futures markets.
Joenvaara, J., Klemela, J. and Kosowski, R. (2013). The economic value and statistical properties of manipulation-proof performance measures.
Joenvaara, J., Kosowski, R. and Tolonen, P. (2014). The effect of investment constraints on hedge fund investor returns.

Published Research

Kosowski, R., Avramov, D. and Barras, L. (2013). Hedge fund return predictability under the magnifying glass: forecasting individual fund returns using multiple predictors?. Journal of Financial and Quantitative Analysis. 48 (4). 1057-1083.
Buraschi, A., Kosowski, R. and Trojani, F. (2013). When there is no place to hide - correlation risk and the cross-section of hedge fund returns. Review of Financial Studies. Forthcoming. TBC.