PT  - JOURNAL ARTICLE
AU  - Andreas Mikkelsen
AU  - Frode Kjærland
AU  - Tom Erik Sønsteng Henriksen
TI  - Hedge Funds as a Diversification Vehicle
AID  - 10.3905/joi.2019.1.099
DP  - 2019 Jul 29
TA  - The Journal of Investing
PG  - joi.2019.1.099
4099  - https://pm-research.com/content/early/2019/08/27/joi.2019.1.099.short
4100  - https://pm-research.com/content/early/2019/08/27/joi.2019.1.099.full
AB  - This study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016.Interestingly, the findings show, in general, no significant increase in performance when hedge funds are included in a portfolio, compared to a well-diversified portfolio as a benchmark. A certain degree of risk reduction is observed when including hedge funds in the portfolio, but the performance does not improve significantly, on average. This study extends the literature on portfolio performance when including hedge funds in a multi-asset portfolio, using more asset allocation strategies and a comprehensive dataset compared to previous studies.TOPICS: Real assets/alternative investments/private equity, portfolio construction, performance measurement, risk management