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Primary Article

Hedge Fund Return Statistics 1994–2005

Stein Frydenberg, Snorre Lindset and Sjur Westgaard
The Journal of Investing Spring 2008, 17 (1) 7-21; DOI: https://doi.org/10.3905/joi.2008.701952
Stein Frydenberg
An associate professor at Trondheim Business School and an adjunct associate professor at the Department of Industrial Economics in Trondheim, Norway.
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  • For correspondence: steinf@iot.ntnu.no
Snorre Lindset
An associate professor at Trondheim Business School and an adjunct associate professor at the Department of Industrial Economics in Trondheim, Norway.
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  • For correspondence: snorre.lindset@hist.no
Sjur Westgaard
An associate professor at the Department of Industrial Economics and an adjunct professor at Trondheim Business School in Trondheim, Norway.
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  • For correspondence: sjur.westgaard@iot.ntnu.no
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Abstract

In this article we examine various statistical properties of several hedge fund style returns. We use hedge fund indices from CSBF/Tremont as well as global bonds and equity investment indices covering the period 1994–2005. We find that some of the hedge fund styles seem to have a higher mean return and a lower standard deviation than the equity market. We also find the index return distributions to be not normal and exhibit negative skewness and positive excess kurtosis for several styles. We also utilize stochastic dominance as a tool for ranking the best risk-adjusted investment style. Many hedge fund index returns have a high positive correlation with the stock market while most styles are nearly uncorrelated with the bond market. A high correlation with the equity market put the diversification effect of hedge funds into question

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Hedge Fund Return Statistics 1994–2005
Stein Frydenberg, Snorre Lindset, Sjur Westgaard
The Journal of Investing Feb 2008, 17 (1) 7-21; DOI: 10.3905/joi.2008.701952

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Hedge Fund Return Statistics 1994–2005
Stein Frydenberg, Snorre Lindset, Sjur Westgaard
The Journal of Investing Feb 2008, 17 (1) 7-21; DOI: 10.3905/joi.2008.701952
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