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Les Fonds alternatifs sont-ils réellement décorrelés des produits d'investissments classiques?


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  • Daniel Capocci
  • Romain Mahieu
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    Cette étude a pour objectif d'analyser en profondeur la corrélation qui existe entre les stratégies d'investissement alternatives communément appelées hedge funds et les produits d'investissement classiques. Nous procédons à une analyse en regroupant les fonds par stratégie d'investissement dans des indices composites et en les considérant de façon individuelle. De plus, nous procédons également à une analyse sur différentes sous-périodes afin d'analyser la constance des résultats obtenus. Nos résultats soulignent l'importance d'une dissociation des hedge funds par stratégie d'investissement car les résultats sont spécifiques aux stratégies et au fait que l'on considère les hedge funds en les groupant par stratégie ou de façon individuelle.

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    Bibliographic Info

    Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

    Volume (Year): 46 (2003)
    Issue (Month): 2 ()
    Pages: 83-110

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    Handle: RePEc:bxr:bxrceb:y:2003:v:46:i:2:p:83-110

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    Related research

    Keywords: Hedge fund; alternative funds; corrélation; sub-period analysis; Hedge fund; fonds alternatifs; corrélation; analyse de sous-périodes;

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