HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları
This study aimed at comparing the performances of distinct hedge fund strategies and assessing the diversification opportunities using hedge funds. This paper analyses the overall performance of distinct hedge fund strategies (as indices) for the period of 2001-2020. Hedge fund performances are comp...
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| Format: | Article |
| Language: | English |
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Recep Tayyip Erdoğan Üniversitesi
2022-04-01
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| Series: | Uluslararası Ekonomi, İşletme ve Politika Dergisi |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/download/article-file/2330821 |
| _version_ | 1797662288448061440 |
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| author | Emin Avcı Hind Benmahi |
| author_facet | Emin Avcı Hind Benmahi |
| author_sort | Emin Avcı |
| collection | DOAJ |
| description | This study aimed at comparing the performances of distinct hedge fund strategies and assessing the diversification opportunities using hedge funds. This paper analyses the overall performance of distinct hedge fund strategies (as indices) for the period of 2001-2020. Hedge fund performances are compared using alternative risk adjusted performance metrics; first, alpha based on four asset-pricing models (CAPM, Fama-French 3 factor, Carhart and Fama-French 5 factor models); then, the Sharpe ratio. The findings of the study revealed that almost all hedge fund strategies outperform the benchmark return (MSCI World Index) and are superior in terms of risk/return measures. The alternative risk metrics used in the calculation of risk-adjusted performances did not cause a dramatic change in the rank ordering of the hedge fund strategies. |
| first_indexed | 2024-03-11T18:57:59Z |
| format | Article |
| id | doaj.art-e0b6af073be244e3be5dbbff16a30c39 |
| institution | Directory Open Access Journal |
| issn | 2587-2559 |
| language | English |
| last_indexed | 2024-03-11T18:57:59Z |
| publishDate | 2022-04-01 |
| publisher | Recep Tayyip Erdoğan Üniversitesi |
| record_format | Article |
| series | Uluslararası Ekonomi, İşletme ve Politika Dergisi |
| spelling | doaj.art-e0b6af073be244e3be5dbbff16a30c392023-10-10T18:17:37ZengRecep Tayyip Erdoğan ÜniversitesiUluslararası Ekonomi, İşletme ve Politika Dergisi2587-25592022-04-016117219610.29216/ueip.10929591075HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme FırsatlarıEmin Avcı0Hind Benmahi1MARMARA ÜNİVERSİTESİMARMARA ÜNİVERSİTESİThis study aimed at comparing the performances of distinct hedge fund strategies and assessing the diversification opportunities using hedge funds. This paper analyses the overall performance of distinct hedge fund strategies (as indices) for the period of 2001-2020. Hedge fund performances are compared using alternative risk adjusted performance metrics; first, alpha based on four asset-pricing models (CAPM, Fama-French 3 factor, Carhart and Fama-French 5 factor models); then, the Sharpe ratio. The findings of the study revealed that almost all hedge fund strategies outperform the benchmark return (MSCI World Index) and are superior in terms of risk/return measures. The alternative risk metrics used in the calculation of risk-adjusted performances did not cause a dramatic change in the rank ordering of the hedge fund strategies.https://dergipark.org.tr/tr/download/article-file/2330821hedge fundsalphafactor modelssharpe ratiohedge fonlarialphafaktor modellerisharpe rasyosu |
| spellingShingle | Emin Avcı Hind Benmahi HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları Uluslararası Ekonomi, İşletme ve Politika Dergisi hedge funds alpha factor models sharpe ratio hedge fonlari alpha faktor modelleri sharpe rasyosu |
| title | HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları |
| title_full | HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları |
| title_fullStr | HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları |
| title_full_unstemmed | HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları |
| title_short | HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları |
| title_sort | hedge fund strategies performance risk and diversification opportunities hedge fon stratejileri performans risk ve cesitlendirme firsatlari |
| topic | hedge funds alpha factor models sharpe ratio hedge fonlari alpha faktor modelleri sharpe rasyosu |
| url | https://dergipark.org.tr/tr/download/article-file/2330821 |
| work_keys_str_mv | AT eminavcı hedgefundstrategiesperformanceriskanddiversificationopportunitieshedgefonstratejileriperformansriskvecesitlendirmefırsatları AT hindbenmahi hedgefundstrategiesperformanceriskanddiversificationopportunitieshedgefonstratejileriperformansriskvecesitlendirmefırsatları |