AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES
Hedge funds claim to provide significant diversification for traditional portfolios in attempt to offer attractive returns. This paper provides a comprehensive analysis of the risk-return characteristics, risk exposures of various hedge fund strategies using a database on Barclay Trading Group indic...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2006
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| Online Access: | https://eprints.nottingham.ac.uk/20454/ |
| _version_ | 1848792078280032256 |
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| author | Xiong, Danna |
| author_facet | Xiong, Danna |
| author_sort | Xiong, Danna |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Hedge funds claim to provide significant diversification for traditional portfolios in attempt to offer attractive returns. This paper provides a comprehensive analysis of the risk-return characteristics, risk exposures of various hedge fund strategies using a database on Barclay Trading Group indices, and examines the return and diversification benefits of hedge fund investing from 1997 to 2006. One of the key characteristics of hedge fund is that it has a low correlation with the market and suggests methods of analysis for dealing with the fact that correlation is unstable. This research uses the simple linear regressions of monthly hedge fund excess returns on monthly S&P 500 excess returns, and this regressions show only modest market exposure and positive added value. Furthermore, the simple nonlinear regressions also applied with both down- and up-market. Different market condition, in this regression, illustrates dissimilar market exposure. Before conclusion, this paper points out that this type of analysis can produce misleading results. Because many hedge funds hold, to various degrees and combinations, illiquid exchange-traded securities or difficult-to-price over-the-counter securities, and hedge funds often price these securities using either last available traded prices or estimates of current market prices for the purposes of monthly reporting. These practices can lead to reported monthly hedge fund returns that are not perfectly synchronous with monthly S&P 500 returns due to the presence of either stale or managed prices. |
| first_indexed | 2025-11-14T18:38:41Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-20454 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:38:41Z |
| publishDate | 2006 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-204542018-04-18T01:51:29Z https://eprints.nottingham.ac.uk/20454/ AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES Xiong, Danna Hedge funds claim to provide significant diversification for traditional portfolios in attempt to offer attractive returns. This paper provides a comprehensive analysis of the risk-return characteristics, risk exposures of various hedge fund strategies using a database on Barclay Trading Group indices, and examines the return and diversification benefits of hedge fund investing from 1997 to 2006. One of the key characteristics of hedge fund is that it has a low correlation with the market and suggests methods of analysis for dealing with the fact that correlation is unstable. This research uses the simple linear regressions of monthly hedge fund excess returns on monthly S&P 500 excess returns, and this regressions show only modest market exposure and positive added value. Furthermore, the simple nonlinear regressions also applied with both down- and up-market. Different market condition, in this regression, illustrates dissimilar market exposure. Before conclusion, this paper points out that this type of analysis can produce misleading results. Because many hedge funds hold, to various degrees and combinations, illiquid exchange-traded securities or difficult-to-price over-the-counter securities, and hedge funds often price these securities using either last available traded prices or estimates of current market prices for the purposes of monthly reporting. These practices can lead to reported monthly hedge fund returns that are not perfectly synchronous with monthly S&P 500 returns due to the presence of either stale or managed prices. 2006 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/20454/1/06MALIXDX1.PDF.pdf Xiong, Danna (2006) AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Xiong, Danna AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES |
| title | AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES |
| title_full | AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES |
| title_fullStr | AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES |
| title_full_unstemmed | AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES |
| title_short | AN ANALYSIS OF RISK-RETURN CHARACTERISTICS AND RISK EXPOSURES OF VARIOUS HEDGE FUND STRATEGIES |
| title_sort | analysis of risk-return characteristics and risk exposures of various hedge fund strategies |
| url | https://eprints.nottingham.ac.uk/20454/ |