Abstract

http://ssrn.com/abstract=872868
 
 

Citations



 


 



Hedge Funds: Risk and Return


Burton G. Malkiel


Princeton University - Bendheim Center for Finance; National Bureau of Economic Research (NBER)

Atanu Saha


Micronomics Inc.


Financial Analysts Journal, Vol. 61, No. 6, pp. 80-88, November/December 2005

Abstract:     
From a database that is relatively free of bias, this article provides measures of the returns of hedge funds and of the distinctly nonnormal characteristics of the data. The results include risk-adjusted measures of performance and tests of the degree to which hedge funds live up to their claim of market neutrality. The substantial attrition of hedge funds is examined, the determinants of hedge fund demise are analyzed, and results of tests of return persistence are presented. The conclusion is that hedge funds are riskier and provide lower returns than is commonly supposed.

Keywords: Alternative Investments, Hedge Fund Strategies, Portfolio Management, Hedgefund Strategies

Accepted Paper Series


Not Available For Download

Date posted: December 30, 2005  

Suggested Citation

Malkiel, Burton G. and Saha, Atanu, Hedge Funds: Risk and Return. Financial Analysts Journal, Vol. 61, No. 6, pp. 80-88, November/December 2005. Available at SSRN: http://ssrn.com/abstract=872868

Contact Information

Burton G. Malkiel (Contact Author)
Princeton University - Bendheim Center for Finance ( email )
26 Prospect Avenue
Princeton, NJ 08540
United States
609-258-6445 (Phone)
609-258-0771 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Atanu Saha
Micronomics Inc. ( email )
Twenty-Fifth Floor
400 South Hope Street
Los Angeles, CA 90071-2826
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