In a previous column, I touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies.
Principal of Premia Capital Management, LLC; andResearch Associate, EDHEC Risk and Asset Management Research Centre
In this column, after reviewing these difficulties, I will discuss the current state-of-the-art methodology in this area. This subject is a very timely one. After the historically unprecedented run-up in the stock market, an investor may only be able to expect single-digit stock market returns for the foreseeable future. Because of these low return expectations, the promise of earning double-digit returns from hedge funds has caused unprecedented interest in this type of investment.
|Type :||Working paper|
|Date :||le 08/10/2001|
|Pôle de recherche||Finance|