Showing 1 - 10 of 15
We present an extension of the traditional Sharpe ratio to allow for the evaluation of non-normal return distributions. Combining earlier work in this area with stochastic simulation, we develop a procedure that allows for the construction of a benchmark for the evaluation of the performance of...
Persistent link: https://www.econbiz.de/10005738262
In this paper we investigate whether it is possible for a fund of hedge funds to not only offer investors access to a diversified basket of hedge funds but to provide skewness protection at the same time. We study two different strategies. The first is for a fund to buy stock index puts and...
Persistent link: https://www.econbiz.de/10005738265
This paper provides an overview of the most important statistical properties of individual hedge fund returns. We find that the net-of-fees monthly returns of the average individual hedge fund exhibit significant degrees of negative skewness, excess kurtosis, as well as positive first-order...
Persistent link: https://www.econbiz.de/10005558286
In this brief note we argue that for investors that are serious about matching (the risks of) assets and liabilities, indexation is a doubtful proposition as significant autonomous changes may occur in the industry allocation and accompanying risk-return profile of the portfolio underlying the...
Persistent link: https://www.econbiz.de/10005558297
Using monthly return data over the period June 1994 – May 2001 we investigate the performance of randomly selected baskets of hedge funds ranging in size from 1 to 20 funds. The analysis shows that increasing the number of funds can be expected to lead not only to a lower standard deviation...
Persistent link: https://www.econbiz.de/10005558302
In this paper we investigate the claim that hedge funds offer investors a superior risk-return trade-off. We do so using a continuous time version of Dybvig’s (1988a, 1988b) payoff distribution pricing model. The evaluation model, which does not require any assumptions with regard to the...
Persistent link: https://www.econbiz.de/10005558307
Using monthly return data on 455 hedge funds over the period 1994-2001 we study the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. Our results indicate that although the inclusion of hedge funds may significantly improve a portfolio’s...
Persistent link: https://www.econbiz.de/10005558316
In this paper we report on a new class of derivative products which we refer to as equity-linked savings products. Equity-linked savings products require investors to pay periodic instalments in return for a predefined equity-linked payoff at maturity. We discuss the structuring, hedging,...
Persistent link: https://www.econbiz.de/10005558328
Although the inclusion of hedge funds in an investment portfolio can significantly improve that portfolio’s mean-variance characteristics, it can also be expected to lead to significantly lower skewness and higher kurtosis. In this paper we show how this highly undesirable side-effect can be...
Persistent link: https://www.econbiz.de/10005558336
Persistent link: https://www.econbiz.de/10005146616