The Topography of Hedge Fund Returns 2006

13 Pages Posted: 13 Oct 2005

See all articles by Craig W. French

Craig W. French

Portfolio Engineering Laboratory

Damian B. Ko

Corbin Capital Partners, L.P.

Vivek Jindal

affiliation not provided to SSRN

Date Written: February 13, 2007

Abstract

In this series of plots, we review the opportunity sets of 9 hedge fund strategies, as well as funds-of hedge funds, over the past 17 years. The data includes all managers that existed for all 12 months of each calendar year in the HFR database. In these plots, we view the topography of the distributions - higher mountain peaks indicate more return concentration as a percentage of hedge funds each year. We also plot the average return each year on the terrain. We are currently in an era of compressed returns (high peaked means in 2005, slightly more dispersion in 2006).

Keywords: hedge fund, asset allocation, risk

JEL Classification: G00

Suggested Citation

French, Craig W. and Ko, Damian Bongjoon and Jindal, Vivek, The Topography of Hedge Fund Returns 2006 (February 13, 2007). Available at SSRN: https://ssrn.com/abstract=814184 or http://dx.doi.org/10.2139/ssrn.814184

Craig W. French (Contact Author)

Portfolio Engineering Laboratory ( email )

115 Pondview Drive
Washington Crossing, PA Pennsylvania 18977
United States
6108446040 (Phone)

Damian Bongjoon Ko

Corbin Capital Partners, L.P. ( email )

9 West 57th Street
25th Floor
New York, NY 10019
United States
212-634-7354 (Phone)
212-634-7399 (Fax)

Vivek Jindal

affiliation not provided to SSRN

No Address Available

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