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Publications : Harry Kat & Joëlle Miffre, Working Paper, Mai 2006


Harry Kat & Joëlle Miffre (2006), "The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas", Head of Risk Management and Quantitative Research, EDHEC Working Paper, Mai 2006.

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Résumé

Most previous tests of hedge fund performance have failed to model the exposure of hedge fund returns to systematic non-normality risks, nor have they taken the tactical asset allocation decisions of hedge funds managers into account. This paper shows that failure to account for these features leads to incorrect statistical inferences on the performance of 1 out of 4 hedge funds and overstates hedge funds' alpha by 1.54% on average.
Put another way, hedge funds offer abnormal returns that are 23.1% lower than commonly accepted.


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Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la Recherche de l'EDHEC [ joanne.finlay@edhec.edu]

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
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Harry Kat & Joëlle Miffre (2006),
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rédigé par STEPHANE COLOMBANI
mise à jour le 12 octobre 2007

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