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| Author: | Amin, G.S. Kat, H.M. |
| Title: | Hedge fund performance 1990-2000: do the "money machines" really add value? |
| Journal: | Journal of Financial and Quantitative Analysis
2003 : JUN, VOL. 38:2, p. 251-274 |
| Index terms: | Economic performance Funds Hedging Return on investment |
| Language: | eng |
| Abstract: | The claim that hedge funds offer investors a superior risk-return tradeoff is investigated. That is done by using a continuous-time version of Dybvig's (1988a, 1989b) payoff distribution pricing model. The evaluation model, which does not require any assumptions with regard to the return of distribution of the funds to be evaluated, is applied to the monthly returns of 77 hedge funds and 13 hedge fund indicies from May 1990 to April 2000. The results indicate that, as a stand-alone investment, hedge funds do not offer a surerior risk-return profile. |
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