Abstract

http://ssrn.com/abstract=967833
 
 

References (47)



 
 

Citations (10)



 


 



The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions


Bill Ding


Zhejiang University

Hany A. Shawky


State University of New York at Albany - School of Business and Center for Institutional Investment Management


European Financial Management, Vol. 13, No. 2, pp. 309-331, March 2007

Abstract:     
We present hedge fund performance estimates that adjust for stale prices, Fama-French risk factors and skewness. We contrast these new performance estimates with traditional performance measures. Using three-factor models to adjust for staleness in prices and to incorporate Fama-French factors along with the Harvey-Siddique (2000) two-factor model that incorporates skewness, we find that for the period 1990-2003, all hedge fund categories achieve above average performance when measured against an aggregate market index. More significantly, however, when we estimate performance at the individual hedge fund level, we discover that only 40 to 47% of the funds are shown to achieve an above average performance over that time period depending on the model used. These results have important implications for investors, endowments and pensions when they choose hedge fund managers.

Number of Pages in PDF File: 23

Accepted Paper Series


Date posted: March 4, 2007  

Suggested Citation

Ding, Bill and Shawky, Hany A., The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions. European Financial Management, Vol. 13, No. 2, pp. 309-331, March 2007. Available at SSRN: http://ssrn.com/abstract=967833 or http://dx.doi.org/10.1111/j.1468-036X.2006.00356.x

Contact Information

Bill Ding (Contact Author)
Zhejiang University
1 Xuefu Road
Ningbo, Zhejiang 315100
China
Hany A. Shawky
State University of New York at Albany - School of Business and Center for Institutional Investment Management ( email )
School of Business
1400 Washington Ave.
Albany, NY 12222
United States
518-442-4921 (Phone)
518-442-3944 (Fax)
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