Abstract
In this article, we analyze the returns distribution of hedge funds strategies, the average returns obtained over the past 10 years, and their correlation with a traditional portfolio. The aim is to identify the characteristics of each hedge fund investment strategy in order to be able to construct an optimal hedge fund portfolio for a Swiss pension fund. We show that the classical linear correlation and the classical linear regression cannot be applied for hedge funds. Moreover, we show that only three strategies, convertible arbitrage, market neutral, and CTA, give diversification during market downturns. The techniques used are non-linear regressions and local correlations.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.