文章基本信息

标题：The performance of hedge fund indices
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作者：Yigit Atilgan ; Turan G. Bali ; K. Ozgur Demirtas 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2013
卷号：13
期号：3
页码：1-23
DOI：10.1016/j.bir.2013.10.007
出版社：Elsevier B.V.
摘要：This paper investigates the performance of various strategy-specific and composite hedge fund indices. Given the flexible and nonlinear investment mandates of hedge funds, various risk metrics that take factors such as extreme events and losses with respect to previous peaks are considered. Our analysis compares the risk-adjusted performances of hedge fund indices among themselves, with respect to the overall equity market and over time. Special attention is given to the distinction between investable and non-investable hedge fund indices. We find that the risk-adjusted performances of most hedge fund indices deteriorate over time. Although many hedge fund indices outperform a broad equity index in the full sample period, most hedge fund indices have highly negative returns during market downturns which sheds suspicion over the diversification benefits of investing hedge funds. We also find that non-investable indices are superior performers with respect to their investable counterparts. Finally, the comparison of performance among various indices has little dependence on which particular risk metric is used.