Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
AbstractThis paper examines four different daily datasets of hedge fund return indexes: MSCI, FTSE, Dow Jones and HFRX, all based on investable hedge funds, and three different monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise both investable and non-investable hedge funds. Our study, based on standard statistical analysis, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&P500 index shows that key data biases and disparate index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that highly affects the statistical properties of hedge fund index returns is the “investability” of hedge funds
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Bibliographic InfoPaper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2008_11.
Date of creation: 2008
Date of revision:
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Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia
Web page: http://www.unive.it/dip.economia
More information through EDIRC
Hedge Fund; Risk Management; High frequency data;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-24 (All new papers)
- NEP-CFN-2008-05-24 (Corporate Finance)
- NEP-EFF-2008-05-24 (Efficiency & Productivity)
- NEP-FMK-2008-05-24 (Financial Markets)
- NEP-MST-2008-05-24 (Market Microstructure)
- NEP-RMG-2008-05-24 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012.
"Dynamic risk exposures in hedge funds,"
Computational Statistics & Data Analysis, Elsevier,
Elsevier, vol. 56(11), pages 3517-3532.
- Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers, Department of Economics, University of Venice "Ca' Foscari" 2007_17, Department of Economics, University of Venice "Ca' Foscari".
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
- Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
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