|
EconStor >
European Investment Bank (EIB), Luxembourg >
Economic and Financial Reports, European Investment Bank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/45277
|
| | |
| Title: | | Does the hedge fund industry deliver alpha?  |
| Authors: | | Wagenvoort, Rien |
| Issue Date: | | 2006 |
| Series/Report no.: | | Economic and financial reports / European Investment Bank 2006/02 |
| Abstract: | | We measure the total-risk-adjusted (as opposed to factor-risk-adjusted) performance of hedge fund indices in well-diversified portfolios. Alpha is defined as the difference between, on the one hand, the average return on a mean-variance efficient portfolio containing exclusively traditional market assets (such as stocks and bonds) and, on the other hand, the average return on a mean-variance efficient portfolio containing traditional market assets and the new asset (such as a hedge fund index), where both portfolios carry the same risk. Alpha is conditioned on this risk level. Outlier-robust mean-variance efficient portfolios are constructed by using Minimum Volume Ellipsoid (MVE) estimates of location and scatter. We find that, between July 1995 and December 2005, the broad Credit Suisse/Tremont hedge index did not deliver statistically significant alpha. |
| JEL: | | G11 G12 G23 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economic and Financial Reports, European Investment Bank
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/45277
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|