Publicação
The impact of hedge fund indices on portfolio performance
| Resumo: | The purpose of this paper is to assess the combination of investable hedge funds indices with a traditional portfolio of 60% stocks and 40% bonds. The S&P 500 Index, the Barclays US Aggregate Bond Index, and three investable hedge fund indices, the MEBI Maximum Sharpe Ratio L1 Index, the MEBI Zero Beta Strategy L1 Index, and the Eurekahedge ILS Advisers Index, were considered to conduct performance comparison, using time windows of two, five and ten years, from the 1st of January, 2006, to the 1st of February, 2016. Significant reduction of the beta of the overall portfolio is reached. The findings showed that the investable hedge fund indices under analysis can be used as an easy way to protect a portfolio during different market conditions, diversifying the risks of the traditional investment portfolios. The paper provides evidence of how investable hedge fund indices lead to an improvement in the performance results, when compared with the traditional global equity-bond portfolio alone. |
|---|---|
| Autores principais: | Garcia, Maria Teresa |
| Outros Autores: | Liberal, Gonçalo |
| Assunto: | Markowitz portfolio theory optimal portfolios investable hedge fund index performance evaluation |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | The purpose of this paper is to assess the combination of investable hedge funds indices with a traditional portfolio of 60% stocks and 40% bonds. The S&P 500 Index, the Barclays US Aggregate Bond Index, and three investable hedge fund indices, the MEBI Maximum Sharpe Ratio L1 Index, the MEBI Zero Beta Strategy L1 Index, and the Eurekahedge ILS Advisers Index, were considered to conduct performance comparison, using time windows of two, five and ten years, from the 1st of January, 2006, to the 1st of February, 2016. Significant reduction of the beta of the overall portfolio is reached. The findings showed that the investable hedge fund indices under analysis can be used as an easy way to protect a portfolio during different market conditions, diversifying the risks of the traditional investment portfolios. The paper provides evidence of how investable hedge fund indices lead to an improvement in the performance results, when compared with the traditional global equity-bond portfolio alone. |
|---|