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The Empirical Study of Equity Long Only Hedge Funds Performance in 2007 - 2008

Author

Listed:
  • Izabela Pruchnicka-Grabias

    (Warsaw School of Economics, Poland)

Abstract

The purpose of the research is to measure the investment results of hedge funds in 2007 and 2008 that is during the bull and the bear market. The S&P500 index was used as a benchmark. It was shown that the majority of institutions whose aim is to generate absolute rates of return, and what refers to it, to generate better rates of return than traditional investments irrespective of the market situation, broke this rule. Such measures were taken into consideration as: rates of return, risk measured by standard deviation, risk measured by beta, the level of alpha, the correlation of the examined funds with traditional assets and the Sharpe ratio. The research presented in the paper is a part of the wider research conducted by the author for over 200 hedge funds divided into different investment strategies. The paper deals with 20 hedge funds chosen at random from those which applied the equity long only strategy in the examined period.

Suggested Citation

  • Izabela Pruchnicka-Grabias, 2009. "The Empirical Study of Equity Long Only Hedge Funds Performance in 2007 - 2008," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 5, pages 481-493.
    • Handle: RePEc:osi:journl:v:5:y:2009:p:481-493
    as

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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    More about this item

    Keywords

    hedge funds; investments;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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