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| Tekijä: | Fung, H-G. Xu, X.E. Yau, J. |
| Otsikko: | Global hedge funds: Risk, return, and market timing |
| Lehti: | Financial Analysts' Journal
2002 : NOV/DEC, VOL. 58:6, p. 19-30 |
| Asiasana: | Stock markets Financial performance Investment Rate of return Risk USA Europe |
| Vapaa asiasana: | Hedge funds |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the performance of 115 global equity-based hedge funds with reference to their target geographical markets in the 7-year period 1994-2000. Several results are noteworthy. First, global hedge fund managers do not show positive market-timing ability but do demonstrate superiour security-selection ability. The Jensen's alphas we found, before and after controlling for market timing, are sizable and positive. Second, incentive fees and leverage both have significant positive impact on a hedge fund's risk-adjusted return (as demonstrated by Sharpe ratios and Jensen's alphas) but not on a fund's "selectivity index". Third, incentive fees can lower the hedge fund's up-market and down-market systematic risk. Fourth, the size of a hedge fund is consistently related to its return performance. Finally, contrary to the general perception, leverage does not significantly affect the systematic risk of hedge funds. |
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