Abstract
Hedge funds have increased their assets under management rapidly in the last few years, partly owing to increasing inflows from large institutional investors such as pension funds and endowment funds. Not surprisingly hedge funds have also received increasing attention from the academic community. Non-linear factor models and option strategies have been used in the literature to explain hedge fund returns (see Fung and Hsieh, 2001; Agarwal and Naik, 2001; Mitchell and Pulvino, 2001; Amin and Kat, 2002). These papers provide insight into the risk involved in investing in hedge funds, and they are beneficial in developing benchmarks for hedge fund investment styles.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Ackermann, C., McEnally, R. and Ravenscraft, D. (1999) ‘The Performance of Hedge Funds: Risk, Return and Incentives’, Journal of Finance, 54, 833–74.
Agarwal, V. and Naik, N. (2000a) ‘On Taking the Alternative Route: Risks, Rewards and Performance Persistence of Hedge Funds’, Journal of Alternative Investments, 2, 6–23.
Agarwal, V. and Naik, N. (2000b) ‘Multi-Period Performance Persistence of Hedge Funds’, Journal of Financial and Quantitative Analysis, 35, 327–42.
Agarwal, V. and Naik, N. (2001) ‘Characterizing Hedge Fund Risks with Buy-and-Hold and Option-Based Strategies’, Working Paper, London Business School.
Amin, G. S. and Kat, H. M. (2002) ‘Hedge Fund Performance 1990–2000: Do the Money Machines Add Value’, Journal of Financial and Quantitative Analysis.
Brown, S. J. and Goetzmann, W. N. (1995) ‘Performance Persistence’, Journal of Finance, 50, 679–98.
Brown, S. J., Goetzmann, W. N. and Ibbotson, R. G. (1999) ‘Offshore Hedge Funds: Survival and Performance’, Journal of Finance, 50, 679–98.
Carhart, M. (1997) ‘On Persistence in Mutual Fund Performance’, Journal of Finance, 50, 679–98.
Chen, Z. and Knez, P.J. (1996) ‘Portfolio Performance Measurement: Theory and Applications’, Review of Financial Studies, 9, 511–55.
Cumby R. E. and Glen, J. D. (1990) ‘Evaluating the Performance of International Mutual Funds’, Journal of Finance, 45, 497–521.
Edwards, F. R. and Caglayan, M. O. (2001) ‘Hedge Fund Performance and Manager Skill’, Working Paper, Columbia University.
Fung, W. and Hsieh, D. A. (2001) ‘The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers’, Review of Financial Studies, 14, 313–41.
Grinblatt, M. and Titman, S. (1989) ‘Portfolio Performance Evaluation: Old Issues and New Insights’, Review of Financial Studies, 2, 393–421.
Grinblatt, M. and Titman, S. (1994) ‘A Study of Mutual Fund Returns and Performance Evaluation Techniques’, Journal of Financial and Quantitative Analysis, 29, 419–44.
Gruber, M. J. (1996) ‘Another Puzzle: The Growth in Actively Managed Mutual Funds’, Journal of Finance, 51, 783–810.
Jensen, M. C. (1968) ‘The Performance of Mutual Funds in the Period 1945–64’, Journal of Finance, 23, 389–416.
Malkiel, B. G. (1995) ‘Returns from Investing in Equity Mutual Funds 1971 to 1991’, Journal of Finance, 50, 1249–90.
Mitchell, M. and Pulvino, T. (2001) ‘Characteristics of Risk and Return in Risk Arbitrage’, Journal of Finance, 56, 2135–75.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 The Editor(s)
About this chapter
Cite this chapter
Kouwenberg, R. (2016). Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds. In: Satchell, S. (eds) Asset Management. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-30794-7_6
Download citation
DOI: https://doi.org/10.1007/978-3-319-30794-7_6
Publisher Name: Palgrave Macmillan, Cham
Print ISBN: 978-3-319-30793-0
Online ISBN: 978-3-319-30794-7
eBook Packages: Economics and FinanceEconomics and Finance (R0)