Understanding Hedge Fund Performance: Research Results and Rules of Thumb for the Institutional Investor
- Topics:
- Commercial Lending
- Tags:
- Finance,
- Financial Services,
- Hedge Fund,
- Human Resources,
- Investment,
- Investor,
- Performance,
- Performance Management,
- Workforce Management
- Source:
- Lehman Brothers Holdings
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Overview: "During the past decade hedge fund investments offered investors increased returns while reducing risk through diversification. Recent advances in understanding the factors that drive hedge fund returns indicate the benefits of macro factor analysis (e.g., market factor-based models of return estimation) as well as micro factor analysis (e.g., fund based characteristics). Results presented in this article differ from other recent research by focusing on the performance of particular hedge fund strategies and individual funds, as opposed to the performance characteristics of the hedge fund industry as a whole. Results that are based solely on broad-based hedge fund indices are shown to overestimate or underestimate the impact of certain factors on fund performance. This paper presents evidence on how fund-based performance issues, such as incentive fees, may affect performance. The paper also focuses on how macro return drivers can be used to determine style consistency among funds as well as to understand hedge fund performance in differing market environments."
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Format: PDF | Size: 1,249KB | Date: Nov 2001 | Pages: 58
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