Abstract
This study analyses and decomposes hedge fund returns in order to determine a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform equity and bond indices over a full market cycle and over bull and bear market conditions. The methodology used is adapted from Capocci and Hubner (2004). The measures used include the returns, volatility, Sharpe score, alpha, beta, skewness and kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha as well as consistently and significantly outperforming classical indices.
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