Arbeitspapier
Does the hedge fund industry deliver alpha?
We measure the total-risk-adjusted (as opposed to factor-risk-adjusted) performance of hedge fund indices in well-diversified portfolios. Alpha is defined as the difference between, on the one hand, the average return on a mean-variance efficient portfolio containing exclusively traditional market assets (such as stocks and bonds) and, on the other hand, the average return on a mean-variance efficient portfolio containing traditional market assets and the new asset (such as a hedge fund index), where both portfolios carry the same risk. Alpha is conditioned on this risk level. Outlier-robust mean-variance efficient portfolios are constructed by using Minimum Volume Ellipsoid (MVE) estimates of location and scatter. We find that, between July 1995 and December 2005, the broad Credit Suisse/Tremont hedge index did not deliver statistically significant alpha.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economic and Financial Report ; No. 2006/02
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wagenvoort, Rien
- Ereignis
-
Veröffentlichung
- (wer)
-
European Investment Bank (EIB)
- (wo)
-
Luxembourg
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Wagenvoort, Rien
- European Investment Bank (EIB)
Entstanden
- 2006
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