Do hedge funds outperform stocks and bonds?

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Abstract

H edge funds' extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric and parametric performance measures to determine which hedge fund strategies outperform the U. S. equity and/or bond markets. The results from the realized and simulated return distributions indicate that the long/short equity hedge and emerging markets hedge fund strategies outperform the U. S. equity market, and the long/short equity hedge, multistrategy, managed futures, and global macro hedge fund strategies dominate the U.S. Treasury market.

Available Versions of this Item

• Do hedge funds outperform stocks and bonds? (deposited 30 Nov 2012 22:22)
  • Do hedge funds outperform stocks and bonds? (deposited 17 Dec 2014 14:32) [Currently Displayed]