Hedge funds performance evaluation

2009

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2009 This paper uses the traditional sharpe and some modern ratios to evaluate the performance of Credit Suisse/Tremont hedge funds index in comparison to the equity, bond and commodity markets. As concluded by previous studies, hedge funds have higher sharp ratios, negative skewness and positive kurtosis than the equity, bond and commodity indices. I found that hedge funds generally exhibit low correlation with the equity (but MSCI world), bond and commodity indices, even during financial crises. This makes hedge funds suitable for portfolio diversification. However, this diversification benefit may be minimized by the fact …