TITLE:
Performance Characteristics of Hedge Fund Indices
AUTHORS:
Sheeba Kapil, Jayesh Gupta
KEYWORDS:
Hedge Funds, Calmar Ratio, Sharpe Ratio, Sortino Ratio, Drawdown, Risk-Adjusted Return
JOURNAL NAME:
Theoretical Economics Letters,
Vol.9 No.6,
August
30,
2019
ABSTRACT: The focus of the study is to provide a detailed
account of how various strategy-specific or composite hedge fund indices have
performed in the past. The study analyses returns (monthly) of different hedge
funds. The study selected popular categories of Hedge fund index against DJIA
(Dow Jones Industrial Average) and Credit Suisse Hedge Fund Index. The Data is
taken from January 1994 to December 2018 and is taken from Credit Suisse Hedge
fund database. The study finds that most hedge fund indices witness a drop in
returns over time, and most hedge funds do not provide additional
diversification benefits with respect to
traditional asset class. On a risk-adjusted basis, majority of hedge
fund indices out-perform the broader equity market, risk-adjusted performances
of various hedge fund strategies, does not change drastically with use of
different risk-adjusted measures. As opposed to prevalent studies like Atil,
Bali and Demirtas [1] [2], indicating Equity market neutral hedge fund index as
the best performer in terms of risk-adjusted returns, the current study finds
Event Driven Distressed hedge fund Index as the best performer.