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Estimating the risk profile of hedge fund returns Fund managers are under increasing pressure to maximise returns and hedging strategies are becoming popular
| Content Provider | Semantic Scholar |
|---|---|
| Author | Alberto Fernández Okunev, John White, Derek |
| Copyright Year | 2002 |
| Abstract | w w w .ecu ries.ed u au T wo years of bear markets have proved difficult for Australian fund managers. According to Mercer Investment Consulting, the median return for balanced super funds in 2001-02 was a loss of 4.1%.1 Eager to counteract poor performance, fund managers are reconsidering their weightings in equity and evaluating more sophisticated ways to achieve their investment objectives. Hedge funds in particular have attracted a growing level of interest fuelled by claims of diversification benefits accruing from their focus on absolute returns and low correlation with underlying asset classes—desirable characteristics in mean-variance analysis. Consequently, it is not uncommon to read endorsements to increase the allocation of hedge funds in portfolios from 1-2% to 4-5% in recent academic and practitioner publications. Despite these recommendations there remains a lack of understanding on the appropriate methodology by which to evaluate the risk exposure to investing with hedge funds. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.finsia.com/docs/default-source/jassa-new/jassa-2002/4_2002_hedge_funds.pdf?sfvrsn=9324de93_6 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
