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


  • Daniel Capocci
  • Romain Mahieu


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

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    More about this item


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

    JEL classification:

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


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