Hedge Fund Return Statistics 1994-2005

Posted: 26 Mar 2007 Last revised: 14 Sep 2008

Stein Frydenberg

NTNU Business School - Norwegian University of Science and Technology (NTNU); Sor Trondelag University College - Trondheim Business School

Snorre Lindset

Norwegian University of Science and Technology (NTNU)

Sjur Westgaard

Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

Date Written: March 20, 2007

Abstract

In this paper we have examined various statistical properties of several hedge fund style investments. We have used hedge fund indices from CSBF/Tremont as well as global bonds and equity investment indices covering the period 1994-2005. (This period covers both up and down turns in the equity and bond markets). We found that some of the hedge funds seem to have a higher mean return and a lower standard deviation than the equity market. The index returns distributions are not normal and exhibit negative skewness and positive excess kurtosis. With the exception of some styles, monthly hedge fund index returns have a high positive correlation with the stock market. Most styles are nearly uncorrelated with the bond market. The monthly returns of many hedge fund indices exhibit significant positive first-order autocorrelation.

Keywords: Hedge Fund, Risk, Returns, Distribution

Suggested Citation

Frydenberg, Stein and Lindset, Snorre and Westgaard, Sjur, Hedge Fund Return Statistics 1994-2005 (March 20, 2007). Journal of Investing, Spring 2008. Available at SSRN: https://ssrn.com/abstract=975247

Stein Frydenberg (Contact Author)

NTNU Business School - Norwegian University of Science and Technology (NTNU) ( email )

Klaebuveien 72
Trondheim NO-7491, 7491
Norway

HOME PAGE: http://https://www.ntnu.no/ansatte/stein.frydenberg

Sor Trondelag University College - Trondheim Business School ( email )

Jonsvannsvegen 82
Postboks 2320
Trondheim, N-7004
Norway
47-73559987 (Phone)
47-73559951 (Fax)

Snorre Lindset

Norwegian University of Science and Technology (NTNU) ( email )

Trondheim NO-7491
Norway
+4773591395 (Phone)

Sjur Westgaard

Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology ( email )

NO-7491 Trondheim
Norway

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