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

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?

Type: Working paper
Date: le 02/01/2006
Research Cluster : Finance

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