Do hedge funds outperform stocks and bonds?

Bali, Turan G. and Brown, Stephen J. and Demirtaş, Özgür (2013) Do hedge funds outperform stocks and bonds? Management Science, 59 (8). pp. 1887-1903. ISSN 0025-1909 (Print) 1526-5501 (Online)

This is the latest version of this item.

Full text not available from this repository. (Request a copy)


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.
Item Type: Article
Uncontrolled Keywords: hedge funds; stocks; bonds; almost stochastic dominance; manipulation-proof performance measure
Subjects: H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation
Divisions: Sabancı Business School
Sabancı Business School > Accounting and Finance
Depositing User: Özgür Demirtaş
Date Deposited: 17 Dec 2014 14:32
Last Modified: 02 Aug 2019 15:52

Available Versions of this Item

Actions (login required)

View Item
View Item