Journal of Alternative Investments (forthcoming)
39 Pages Posted: 20 May 2008 Last revised: 25 Apr 2012
Date Written: April 12, 2009
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.
Keywords: Hedge Funds, Risk Management, High frequency data
JEL Classification: G12, G29, C51
Suggested Citation: Suggested Citation
Billio, Monica and Getmansky, Mila 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: https://ssrn.com/abstract=1130715 or http://dx.doi.org/10.2139/ssrn.1130715