A Survey of the Literature on Hedge Fund Performance

Walter Géhin: The issue of performance measurement in the hedge fund industry has led to literature that is both abundant and controversial.

Author(s):

Walter Gehin

Engineer, Misys Asset Management SystemsResearch Associate, Edhec Risk and Asset Management Research Centre

The explanation for this complexity lies in the particular features of alternative funds. Hedge funds invest in a heterogeneous range of financial assets and cover a wide range of strategies that have different risk and return profiles. Even though the current studies on hedge fund performance appear to be confusing, due to conflicting conclusions and criticism of the methods employed in previous papers, they contribute to an improvement in the knowledge of alternative funds, and leading approaches are confirmed. The aim of this paper is to highlight some specific characteristics of hedge funds and their implications in terms of performance measurement. The most recent innovative contributions are reported.

Type: Working paper
Date: le 01/10/2004
Research Cluster : Finance

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