Intertemporal Variation in the Performance of Hedge Funds Employing a Contingent-Claim-Based Benchmark

Published: Jan 1, 2001
Abstract
Since it is well known that hedge fund returns exhibit non-linear option-like exposures to standard asset classes, traditional linear factor models offer limited help in capturing the risk-return tradeoffs offered by hedge funds. This paper employs a combination of passive buy-and-hold strategies and option-based strategies to characterize the risks of different hedge fund strategies. Although, in practice, these hedge funds can follow a myriad...
Paper Details
Title
Intertemporal Variation in the Performance of Hedge Funds Employing a Contingent-Claim-Based Benchmark
Published Date
Jan 1, 2001
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