Neutrality of Market Neutral Funds

Using an original database of 634 market neutral hedge funds, this study formally analyses the market neutrality of market neutral funds which are particular in the hedge fund universe since the only objective of these funds is to provide positive returns completely independent of the market conditions.


Daniel Capocci

Research Associate, Edhec Risk and Asset Management Research CentrePhD candidate, Department of Management, HEC - University of Liège

We start by analysing this neutrality using various market neutral indices before focusing on individual fund returns. Finally, an analysis based on ex-post beta helps us explaining and confirming our previous results. We perform this analysis over the global January 1993-December 2002 period as well as on bull and bear market periods.
Neutrality of Market Neutral Funds...
(-1.00 B)
Type: Working paper
Date: le 06/06/2005
Extra information : For more information, please contact Séverine Anjubault, EDHEC Research and Development Department [ ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
Research Cluster : Finance

See Also

Raman Uppal appointed as new chairman of the Society for Financial Studies (SFS) Council
- 21-09-2018
Raman Uppal, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk...
EDHEC - Risk’s annual European ETF and Smart Beta Survey results show growing demand for new developments in existing Smart Beta offerings
- 20-09-2018
EDHEC-Risk Institute has announced the results of the 11th EDHEC European ETF and Smart...
5 tips to kick-off your MBA successfully as an international student
- 18-09-2018
Whether your ambition is to boost your career, learn the latest in leadership, expand...
Asset Pricing Conference: Major Advances, Nobel Prize and Eminent experts
- 12-09-2018
EDHEC Business School, the Fama-Miller Center at Chicago Booth, and the Review of...