 HEDGE FUND ASSETS RATES OF RETURN - THEORY AND EMPIRICAL TESTSIzabela Pruchnicka-Grabias
Interdisciplinary Management Research, 2015, vol. 11, 1188-1206 Abstract: The paper pays attention to contradictions in the literature studies on hedge fund investments efficiency. Some scientists say that they achieve better results than traditional investment funds and some others emphasize that it is not true. The author pays attention to the assumption of the standard normal distribution which is taken when traditional risk measures such as standard deviation are used. In fact, the author presents the research which shows that hedge fund assets rates of return are not normally distributed. Histograms and probability plots of monthly rates of return of hedge fund assets were presented. The research suggests that traditional risk measures, although so widely used both in theoretical papers and in practice, are not adequate for hedge funds. The data comprise 2200 hedge funds. The examination period was from January 1990 up to march 2011. Keywords: : hedge funds; rates of return; Multistrategy; Merger Arbitrage strategy (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:osi:journl:v:11:y:2015:p:1188-1206 Access Statistics for this article More articles in Interdisciplinary Management Research from Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia Contact information at EDIRC. |
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