Research and publications

An Analysis of Hedge Fund Performance 1984-2000

Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), this paper investigates hedge funds performance using various asset pricing models, and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets.

Author(s):

Daniel Capocci, Georges Hübner

Summary:

Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), this paper investigates hedge funds performance using various asset pricing models, and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets.

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Type :	Working paper
Date :	10/01/2003
Keywords :	Performance

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