IDEAS home Printed from https://ideas.repec.org/a/bxr/bxrceb/y2003v46i2p83-110.html
   My bibliography  Save this article

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

Author

Listed:
  • Daniel Capocci
  • Romain Mahieu

Abstract

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.

Suggested Citation

  • Daniel Capocci & Romain Mahieu, 2003. "Les Fonds alternatifs sont-ils réellement décorrelés des produits d'investissments classiques?," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(2), pages 83-110.
    • Handle: RePEc:bxr:bxrceb:y:2003:v:46:i:2:p:83-110
    as

    Download full text from publisher

    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/11867/1/ber-0254.pdf
    File Function: ber-0254
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Hedge fund; alternative funds; corrélation; sub-period analysis; Hedge fund; fonds alternatifs; corrélation; analyse de sous-périodes;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G19 - Financial Economics - - General Financial Markets - - - Other

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bxr:bxrceb:y:2003:v:46:i:2:p:83-110. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Benoit Pauwels (email available below). General contact details of provider: https://edirc.repec.org/data/dulbebe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.