Résumé
In a previous column, I touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. In this column, after reviewing these difficulties, I will discuss the current state-of-the-art methodology in this area.
This subject is a very timely one. After the historically unprecedented run-up in the stock market, an investor may only be able to expect single-digit stock market returns for the foreseeable future. Because of these low return expectations, the promise of earning double-digit returns from hedge funds has caused unprecedented interest in this type of investment.