文章基本信息

标题：Performance Characteristics of Hedge Fund Indices
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作者：Sheeba Kapil ; Jayesh Gupta
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2019
卷号：9
期号：6
页码：2176-2197
DOI：10.4236/tel.2019.96138
出版社：Scientific Research Publishing
摘要：The focus of the study is to provide a detailed account of how various strategy-specific or composite hedge fund indices have performed in the past. The study analyses returns (monthly) of different hedge funds. The study selected popular categories of Hedge fund index against DJIA (Dow Jones Industrial Average) and Credit Suisse Hedge Fund Index. The Data is taken from January 1994 to December 2018 and is taken from Credit Suisse Hedge fund database. The study finds that most hedge fund indices witness a drop in returns over time, and most hedge funds do not provide additional diversification benefits with respect to traditional asset class. On a risk-adjusted basis, majority of hedge fund indices out-perform the broader equity market, risk-adjusted performances of various hedge fund strategies, does not change drastically with use of different risk-adjusted measures. As opposed to prevalent studies like Atil, Bali and Demirtas [1] [2], indicating Equity market neutral hedge fund index as the best performer in terms of risk-adjusted returns, the current study finds Event Driven Distressed hedge fund Index as the best performer..
关键词：Hedge Funds;Calmar Ratio;Sharpe Ratio;Sortino Ratio;Drawdown;Risk;Adjusted Return