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Is it an investment in hedge funds actually linked to a higher rate of return and risk compared to alternative investments?
[Je s investicí do hedgeových fondů skutečně spojena vyšší výnosnost a riziko v porovnání s alternativními investicemi?]

Author

Listed:
  • Jitka Veselá
  • Martin Chalupa

Abstract

This article focuses on the hedge fund industry, its specifics and impact on the financial system and, in particular on the rate of return, risk and performance produced by the sector. The rate of return, risk and performance of the hedge funds and other asset classes were derived from monthly returns, standard deviation and Sharpe ratios. The time periods 1997-2016 and 2000-2016 were considered. The hedge fund industry, compared to the stock market, the gold market, and the overall commodity market, brought a significantly higher return at a lower risk in the considered period. In the past years, as the two-dimensionally most powerful hedge funds in the short and long term appeared to be smaller funds managing assets up to 100 million USD, and in the medium term the largest funds managing assets over 1 billion USD. From the point of view of geographic asset allocation, the highest twodimensional performance was shown by funds allocating their assets to North American markets.

Suggested Citation

  • Jitka Veselá & Martin Chalupa, 2017. "Is it an investment in hedge funds actually linked to a higher rate of return and risk compared to alternative investments? [Je s investicí do hedgeových fondů skutečně spojena vyšší výnosnost a ri," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2017(2), pages 23-45.
    • Handle: RePEc:prg:jnlcfu:v:2017:y:2017:i:2:id:495:p:23-45
    DOI: 10.18267/j.cfuc.495
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    References listed on IDEAS

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    1. Tomas Garbaravicius & Frank Dierick, 2005. "Hedge funds and their implications for financial stability," Occasional Paper Series 34, European Central Bank.
    2. Garbaravicius, Tomas & Dierick, Frank, 2005. "Hedge funds and their implications for financial stability," Occasional Paper Series 34, European Central Bank.
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    More about this item

    Keywords

    Hedge fund; Rate of return; Risk; Sharpe ratio; Eurekahedge index; Hedgeový fond; Výnosnost; Riziko; Eurakahedge index;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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