The impact of hedge fund indices on portfolio performance

Detalhes bibliográficos
Autor(a) principal: Garcia, Maria Teresa
Data de Publicação: 2019
Outros Autores: Liberal, Gonçalo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/17855
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.
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spelling The impact of hedge fund indices on portfolio performanceMarkowitz portfolio theoryoptimal portfoliosinvestable hedge fund indexperformance evaluationThe 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.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaGarcia, Maria TeresaLiberal, Gonçalo2019-05-16T13:48:34Z2019-052019-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17855engGarcia, Maria Teresa e Gonçalo Liberal (2019). "The impact of hedge fund indices on portfolio performance". Instituto Superior de Economia e Gestão – REM Working paper nº 085 - 20192184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:47:30Zoai:www.repository.utl.pt:10400.5/17855Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:03:00.802529Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The impact of hedge fund indices on portfolio performance
title The impact of hedge fund indices on portfolio performance
spellingShingle The impact of hedge fund indices on portfolio performance
Garcia, Maria Teresa
Markowitz portfolio theory
optimal portfolios
investable hedge fund index
performance evaluation
title_short The impact of hedge fund indices on portfolio performance
title_full The impact of hedge fund indices on portfolio performance
title_fullStr The impact of hedge fund indices on portfolio performance
title_full_unstemmed The impact of hedge fund indices on portfolio performance
title_sort The impact of hedge fund indices on portfolio performance
author Garcia, Maria Teresa
author_facet Garcia, Maria Teresa
Liberal, Gonçalo
author_role author
author2 Liberal, Gonçalo
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Garcia, Maria Teresa
Liberal, Gonçalo
dc.subject.por.fl_str_mv Markowitz portfolio theory
optimal portfolios
investable hedge fund index
performance evaluation
topic Markowitz portfolio theory
optimal portfolios
investable hedge fund index
performance evaluation
description 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.
publishDate 2019
dc.date.none.fl_str_mv 2019-05-16T13:48:34Z
2019-05
2019-05-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/17855
url http://hdl.handle.net/10400.5/17855
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Garcia, Maria Teresa e Gonçalo Liberal (2019). "The impact of hedge fund indices on portfolio performance". Instituto Superior de Economia e Gestão – REM Working paper nº 085 - 2019
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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