Abstract

http://ssrn.com/abstract=1130715
 
 

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Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data


Monica Billio


Ca Foscari University of Venice - Department of Economics

Mila Getmansky Sherman


University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Loriana Pelizzon


Ca Foscari University of Venice - Department of Economics

April 12, 2009

Journal of Alternative Investments (forthcoming)

Abstract:     
This paper examines four daily hedge fund return indices: MSCI, FTSE, Dow Jones, and HFRX, all based on investable hedge funds, and three monthly hedge fund return indices: CSFB Tremont, CISDM, and HFR, which comprise both investable and non-investable hedge funds. Our study, based on standard statistical analysis, non-parametric analysis of the return distribution, and non-parametric regressions with respect to the S&P 500 index shows that key biases like fund selection, asset liquidity, data frequency, sample period, and index construction methodologies are responsible for different statistical properties of hedge fund indices. One key variable that highly affects the statistical properties of hedge fund index returns is the “investability” of hedge fund indices.

Number of Pages in PDF File: 39

Keywords: Hedge Funds, Risk Management, High frequency data

JEL Classification: G12, G29, C51

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Date posted: May 20, 2008 ; Last revised: April 25, 2012

Suggested Citation

Billio, Monica and Sherman, Mila Getmansky and Pelizzon, Loriana, Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data (April 12, 2009). Journal of Alternative Investments (forthcoming). Available at SSRN: http://ssrn.com/abstract=1130715 or http://dx.doi.org/10.2139/ssrn.1130715

Contact Information

Monica Billio (Contact Author)
Ca Foscari University of Venice - Department of Economics ( email )
Cannaregio 873
Venice, 30121
Italy
HOME PAGE: http://venus.unive.it/billio
Mila Getmansky Sherman
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance ( email )
Amherst, MA 01003-4910
United States
Loriana Pelizzon
Ca Foscari University of Venice - Department of Economics ( email )
Cannaregio 873
Venice, 30121
Italy
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