The Sustainability in Hedge Fund Performance: New Insights

41 Pages Posted: 13 Jul 2007

See all articles by Daniel P.J. Capocci

Daniel P.J. Capocci

HEC - Université de Liège; Luxembourg School of Finance; Edhec Risk and Management Research Center

Date Written: July 2007

Abstract

This study analyses and decomposes hedge fund returns in order to determine a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform equity and bond indices over a full market cycle and over bull and bear market conditions. The methodology used is adapted from Capocci and Hübner (2004). The measures used include the returns, volatility, Sharpe score, alpha, beta, skewness and kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha as well as consistently and significantly outperforming classical indices.

Keywords: Hedge fund, return, performance, persistence, sustainability, volatility Sharpe score, alpha, beta, skewness, kurtosis

JEL Classification: G20, G11, G15

Suggested Citation

Capocci, PhD - CAIA, Daniel P.J., The Sustainability in Hedge Fund Performance: New Insights (July 2007). Available at SSRN: https://ssrn.com/abstract=998907 or http://dx.doi.org/10.2139/ssrn.998907

Daniel P.J. Capocci, PhD - CAIA (Contact Author)

HEC - Université de Liège ( email )

Bld du Rectorat 7 Bat. B31
Liege, 4000
Belgium
+32/87784221 (Phone)
+32/87787140 (Fax)

Luxembourg School of Finance ( email )

4 Rue Albert Borschette
Luxembourg, L-1246
Luxembourg

Edhec Risk and Management Research Center ( email )

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59046 Lille Cedex
France

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