|
|
Article: 2: hedge fund performance.(Hedge Funds)
- Article from:
- Foundations and Trends in Finance
- Article date:
- March 1, 2005
- Author:
CopyrightCOPYRIGHT 2005 Now Publishers, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
|
There is a large literature on hedge fund performance including comparison of their performance with mutual funds, their return generating process using multifactor models, analysis of their investment styles, nonlinearity of their payoff structure, estimation of manager skill, persistence in their performance, timing ability, and their role in systemic risk and bubbles. We review each of these areas below.
2.1. Risks and rewards: Hedge funds versus mutual funds
Given that hedge funds are loosely regulated and thus being not obligated to disclose information on their investment strategies or returns, it is natural, as a starting point, to try to ...