Comparative Analysis of Hedge Fund Returns

Hedge funds have an absolute return performance objective stated independently of the global market conditions.

Author(s) :

Daniel Capocci

Research Associate, EDHEC Risk and Asset Management Research Centre

Presentation :

Nevertheless, they have been compared to classical bond and equity indices by academics since the late 1990s. Independently of their absolute or relative performance, it is of particular importance to determine if some hedge funds consistently outperform their peers. This is exactly the objective of this study: do some hedge funds consistently and significantly outperform others? Do some individual funds or some strategies continuously create alpha in comparison to others?
Comparative Analysis of Hedge Fund Returns...
(1.60 MB)
Type : Working paper
Date : le 02/01/2006
Extra information : Ce document constitue une synthèse de travaux scientifiques conduits au sein de l'EDHEC. Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault de la direction de la recherche de l'EDHEC : Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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