A carregar...
Publicação
The impact of hedge fund indices on portfolio performance
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.09 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
The purpose of this paper is to assess the combination of investable hedge funds indices
with a traditional portfolio of 60% stocks and 40% bonds. The S&P 500 Index, the
Barclays US Aggregate Bond Index, and three investable hedge fund indices, the MEBI
Maximum Sharpe Ratio L1 Index, the MEBI Zero Beta Strategy L1 Index, and the
Eurekahedge ILS Advisers Index, were considered to conduct performance comparison,
using time windows of two, five and ten years, from the 1st of January, 2006, to the 1st
of February, 2016. Significant reduction of the beta of the overall portfolio is reached.
The findings showed that the investable hedge fund indices under analysis can be used as an easy way to protect a portfolio during different market conditions, diversifying the
risks of the traditional investment portfolios. The paper provides evidence of how
investable hedge fund indices lead to an improvement in the performance results, when
compared with the traditional global equity-bond portfolio alone.
Descrição
Palavras-chave
Markowitz portfolio theory optimal portfolios investable hedge fund index performance evaluation
Contexto Educativo
Citação
Garcia, Maria Teresa e Gonçalo Liberal (2019). "The impact of hedge fund indices on portfolio performance". Instituto Superior de Economia e Gestão – REM Working paper nº 085 - 2019
Editora
ISEG - REM - Research in Economics and Mathematics