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      • Bilkent Theses
      • Theses - Department of Management
      • Dept. of Management - Master's degree
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      Performance characteristics of investable hedge funds indexes

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      Author(s)
      Erdurmuş, Ali
      Advisor
      Akdeniz, Levent
      Date
      2010
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      In this study we examine the performance of investable hedge fund indexes by using an extended asset pricing model which uses GMM regression methods. Monthly returns of Hedge Fund Research (HFR) investable hedge fund indexes from January 2005 to October 2009 are analyzed. Our extended asset pricing model uses twelve different asset classes as explanatory factors such that three factors of Fama & French, three equity indexes, five bond indexes and one commodity index. The performance of investable hedge fund indexes for several strategies indicates that investable hedge funds indexes fail to deliver significant excess returns to their investors and their factor exposures are parallel to their main investment strategies.
      Keywords
      Hedge Funds
      Performance Characteristics
      Permalink
      http://hdl.handle.net/11693/15046
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      • Dept. of Management - Master's degree 318
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