The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors

Brooks, Chris; Kat, Harry M.

doi:10.3905/jai.2002.319053

Cited by 306 publications

(182 citation statements)

References 8 publications

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“…Neste ponto, é importante destacar que o tema de fundos de investimento proporciona estudos e pesquisas no cenário internacional (Amin & Kat, 2003;Brooks & Kat, 2002) e brasileiro (Malaquias & Eid, 2013;Rochman & Eid, 2006). Além disso, a indústria de fundos de investimento vem apontando significativo crescimento ao longo dos últimos anos (Gomes & Cresto, 2010;Malaquias & Eid, 2014).…”

Section: Introductionunclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

Rev. adm. contemp.

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O objetivo geral deste trabalho consistiu em analisar a relação entre os dias de segunda-feira com a rentabilidade proporcionada pelos fundos de investimentos multimercados brasileiros. A base final de análise foi composta por 3.337 fundos multimercados, totalizando 3.529.808 observações para dados diários, no período de janeiro/2005 a setembro/2013. Com a utilização da análise de regressão com dados em painel, levando-se em consideração variáveis de controle apontadas pela literatura como relevantes, os principais resultados indicaram que o efeito segunda-feira também ocorre no segmento de fundos de investimento, sendo intensificado por períodos de crises financeiras. Contudo constatou-se que esse efeito não foi uniforme entre todas as subcategorias de fundos multimercados. Os resultados foram persistentes entre fundos cujo prazo de resgate é D+0, bem como foram robustos ao controle pela série de retornos do Ibovespa. A discussão foi ancorada principalmente na Teoria de Finanças Comportamentais, buscando-se assim potenciais explicações para essa anomalia de mercado.

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Section: Introductionunclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

Rev. adm. contemp.

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“…The 17-year period of data employed in this study includes the bear markets starting in March 2000 caused by the bursting of the Internet bubble, the post-9/11 market and the collapse of the sub-prime markets in the later part of 2007. Brooks and Kat (2001) found that EMN hedge funds did not exhibit a high correlation with the equity markets. Other strategies showed a low and typically negative correlation to the bond markets, but EMN funds were an exception.…”

Section: Literature Reviewmentioning

confidence: 95%

Neutrality of equity market neutral strategy to period and index

Muhtaseb

Colborn

2012

J Deriv Hedge Funds

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and former research director for Global Fund Analysis in London, England. His primary research interest is in portfolio management, especially hedge funds performance, activism and fraud. He has published many research articles in leading journals and run executive seminars and CFA review courses in major financial centers. He holds a PhD in finance from the University of Tennessee, Knoxville. He is a CFA charteholder and CAIA member. ABSTRACT This study examines the performance of equity market neutral (EMN) hedge funds by estimating alpha and beta, using monthly excess returns of the Fidelity Investments Spartan s US Bond Index Fund, 1 the S&P 500 index and two indices of EMN strategies. The study investigates how much exposure to systematic risk is experienced by EMN hedge funds and hence by the investors in such funds. In addition, the article ascertains the stability of the estimated betas of EMN hedge fund indices. Results show that EMN fund indices had no systematic (stock and bond market) risk before the subprime mortgage crises of 2008. During the crises, the DJ Credit Suisse EMN index showed a positive beta in excess of 0.4, yet the Greenwich Van Hedge EMN index showed a beta less than 0.1. Similarly, the DJ Credit Suisse EMN index had no bond market beta up until November 2008. The Greenwich Van Hedge EMN index had almost no exposure to the market. The results were sensitive to market conditions and the EMN index. DJCS and GVH both had positive stock market alphas, which turned insignificant around October 2008. Similarly, both indices had positive bond market alphas, which turned insignificant around August-November 2008. Robert 'Eric' Colborn

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“…The reason for serial correlation can be numerous as reported by Getmansky et al 14 They identify market inefficiencies, time-varying expected returns and time-varying leverage as potential sources of serial correlation but come to the conclusion that illiquidity and smoothed returns are the main sources of serial correlation. The effects of a high serial correlation in hedge fund returns are well documented; see, for example, Brooks and Kat 15 or Hayes. 16 The result can be a lower volatility and correlation with major indexes and distributions with less negative skewness and lower kurtosis.…”

Section: Higher Co-moment Effects In Portfolio Returnsmentioning

confidence: 99%

Higher moment diversification benefits of hedge fund strategy allocation

Haglund¹

2010

J Deriv Hedge Funds

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Mikael Haglundis the founder of Altevo Research, based in Zurich, Switzerland. He is active within quantitative-and investment due diligence of hedge funds and fund of funds and portfolio construction with hedge fund investments. Mikael is a CAIA charter holder.Correspondence: Mikael Haglund, Altevo Research, Bleicherweg 66, 8002 Zurich, Switzerland E-mail: mh@altevoresearch.com ABSTRACT Hedge funds are often used by institutional investors as a risk reduction tool in order to decrease portfolio volatility and create more stable return patterns. Normally, the portfolio construction process utilises a mean-variance approach and does not account for non-normal return distributions. In this article, we use higher moment betas to examine the effects on portfolio volatility, skewness and kurtosis when hedge funds are added to an equity portfolio. The results show that hedge funds, in general, can lower the volatility, skewness and kurtosis of the portfolio but large variations are seen between different hedge fund strategies. Convertible Arbitrage, Equity Market Neutral, Fixed Income Arbitrage, Merger Arbitrage and Macro are identified as the most attractive strategies to include in an equity portfolio for investors who care about higher moment risks and want to limit downside risk. Positive diversification effects still exist when serial correlation is accounted for but are then less pronounced.

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The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors

Cited by 306 publications

References 8 publications

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Neutrality of equity market neutral strategy to period and index

Higher moment diversification benefits of hedge fund strategy allocation

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