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PERFORMANCE ANALYSIS OF HEDGE FUND INDICES

Dr. Manu Sharma

Panjab University, India

 

Rajnish Aggarwal

Panjab University, India

 

Abstract

This research examined the performance of the 14 hedge funds indices relative to the market in the last 17 years. The study first looked at the characteristics of the equity return series of S&P500 index and 14 hedge fund returns using the first four moments i.e. mean (first moment), variance or standard deviation (second), skewness (third), and kurtosis(fourth), and then employed the Sharpe ratio to analyze relative performance and a regression model to further investigate the research question. The study has shown that the most of the hedge funds indices returns were highly correlated with S&P 500 index returns. The study has also shown that most of the hedge fund indices has higher Sharpe ratio as compared with the S&P 500 index and were performing better than the market.

Key words: Hedge funds, Sharpe Ratio, Skewness, Kurtosis

JEL codes: G 23