Performance characteristics of investable hedge funds indexes
Author(s)
Advisor
Akdeniz, LeventDate
2010Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
162
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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.