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| Tekijä: | Liang, B. |
| Otsikko: | Hedge Fund Performance: 1990-1999 |
| Lehti: | Financial Analysts' Journal
2001 : JAN-FEB, VOL. 57:1, p. 11-18 |
| Asiasana: | HEDGING FUNDS RISK |
| Kieli: | eng |
| Tiivistelmä: | Using a large database, the author studied hedge fund performance and risk during an almost 10-year period from 1990 to mid-1999. The empirical results show that hedge funds had an annual return of 14.2 percent in this period, compared with 18.8 percent for the S&P 500 Index. The S&P 500 is much more volatile, however, than hedge funds as a whole. Annual survivorship bias for hedge funds was 2.43 percent. The author examined year 1998 in detail because hedge funds were heavily affected by the global financial market tumble in that year. For example, the highest volatility for hedge fund returns occurred in 1998, and more funds died and fewer were born in 1998 than in any other year of the period studied. |
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