European Business Schools Librarian's Group
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 03-5: Further Evidence on Hedge Funds Performance.
Claus Bang Christiansen, Peter Brink Madsen and Michael Christensen ()
Additional contact information
Claus Bang Christiansen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Peter Brink Madsen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Michael Christensen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Abstract: In this analysis we identify dynamic hedge fund strategies quantitatively pursuing a Principal Component Analysis following Fung and Hsieh (1997). We extract five dominant hedge
fund strategies each representing similar investment styles and analyse the performance of each strategy by employing a multi-factor model comprising both market indices and passive option strategies along the lines of Agerwal and Naik (2000).
We find that the majority of the five homogenous strategies show superior performance. However, correcting for survivorship bias this superior performance disappears.
Keywords: Hedge funds; Investment in securities; Performance; Dynamic strategies; Hedge funds performance
31 pages, December 5, 2003
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