However, while the majority of institutional investors satisfied with hedge fund returns
and intending to increase allocations, the California Public Employees' Retirement System, or CalPERS, has surprised the industry by announcing on September 15 that it intends to withdraw all of its hedge fund investments.
In fact, Asness, Krail, and Liew (2001) illustrate that hedge fund returns
are indeed exposed to market (MKT) factors, and Bali, Brown, and Caglayan (2011) show that hedge funds' exposures to default premium and inflation are positively and negatively related to their future fund returns, respectively.
In 2013, the Preqin Hedge Fund Index, a benchmark of average hedge fund returns
, again lagged the S&P 500; however, despite this, investors are satisfied with the performance of hedge funds in 2013," Amy Bensted, Preqin's head of hedge fund products, said in a statement.
More than one in five investors say that hedge fund returns
in 2013 have exceeded expectations.
2012 hedge fund returns
were the lowest for a positive year - the Eurekahedge Hedge Fund Index was up one per cent in December and 5.
They avoid the major hurdles keeping individuals from buying into hedge funds, and promise to deliver a substantial portion of hedge fund returns
The Dow Jones Credit Suisse Hedge Fund Index team has released a new paper, 'H1 2010 Hedge Fund Industry Review,' that examines the current market environment and its effect on hedge fund returns
in the first half of the year.
4) Hedge fund returns
have varied more widely causing dispersion among manager returns to increase and correlation among managers and hedge fund strategies to decrease.
2004) show how infrequent valuation of hedge fund assets can induce autocorrelation, in the form of moving average components, into hedge fund returns
In fact, hedge fund returns
appear to be in a long-term downward trend.
A new study by Lionel Martellini, Scientific Director of EDHEC-Risk Institute, with Giovanni Zambruno and Asmerilda Hitaj of the University of Milano - Bicocca, entitled ' Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters ,' supported by Newedge Prime Brokerage as part of the research chair on 'Advanced Modelling for Alternative Investments,' aims to enhance understanding of the dynamic and non-linear relationship between hedge fund returns
and the returns on underlying fundamental systematic factors, and to analyse the implications for managing portfolios that include hedge funds.
The first part of Hedge Funds summarizes hedge fund performance, including comparisons of risk-return characteristics of hedge funds with those of mutual funds, factors driving hedge fund returns
, and persistence in hedge fund performance.