A Brief Examination of Returns-Based Analyses of Hedge Funds

5 Pages Posted: 15 May 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: July 23, 2002

Abstract

This article discusses the state-of-the-art in applying returns-based analyses to hedge funds. The article pays particular attention to those hedge fund strategies where the use of either derivatives or dynamic trading strategies can lead to highly asymmetric outcomes.

Keywords: hedge fund, returns, risk measure, portfolio, Sharpe ratio

JEL Classification: G11, G23

Suggested Citation

Till, Hilary, A Brief Examination of Returns-Based Analyses of Hedge Funds (July 23, 2002). Available at SSRN: https://ssrn.com/abstract=2606049 or http://dx.doi.org/10.2139/ssrn.2606049

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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