Hedge Fund Investment Returns and Performance

David Lee

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents a model to calculate daily returns and corresponding value changes of hedge funds. In the past, the values of hedge funds were typically available on a monthly basis. The model link daily hedge fund performance with the returns on indices selected to provide a comprehensive spectrum of possible market exposures. The model gives an estimate of the daily returns of hedge funds based on the daily values of a list of market indices. The daily return of each hedge fund is estimated as a linear combination of daily market index returns. The coefficients of this linear combination are obtained through linear regression of monthly index returns against monthly hedge fund returns.

Keywords: hedge fund performance; daily return; cash flow; market index; linear regression. (search for similar items in EconPapers)
JEL-codes: C1 C13 C51 G11 G12 (search for similar items in EconPapers)
Date: 2024-03-02
New Economics Papers: this item is included in nep-fmk, nep-inv and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:120350

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