Hedge Fund Strategy Benchmarks: Tricks of the Light or Lighthouses?

Over the last few years, alternative investment strategies have dramatically gained in popularity.

Author(s):

Walter Gehin

Research Associate, EDHEC Risk and Asset Management Research Centre and Business Analyst, Atos Euronext Market Solutions

Mathieu Vaissie

Research Associate, EDHEC Risk and Asset Management Research Centre

Initially reserved for high net worth individuals (henceforth HNWI), they progressively drew the attention of individual and institutional investors, to reach approximately 1 trillion dollars in assets under management today. However, while HNWI were looking for absolute returns, private and institutional investors are more focused on capital preservation and/or risk-adjusted performance. This evolution in the profile of hedge fund investors naturally gave rise in the alternative arena to new requirements, especially with regard to the performance measurement process.

Type: Working paper
Date: le 04/06/2007
Research Cluster : Finance

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