Posted: 30 Dec 2005
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
Suggested Citation: 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: https://ssrn.com/abstract=872868