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Further Evidence on Hedge Funds Performance

Author

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  • Christiansen, Claus Bang

    (Department of Finance, Aarhus School of Business)

  • Madsen, Peter Brink

    (Department of Finance, Aarhus School of Business)

  • Christensen, Michael

    (Department of Finance, Aarhus School of Business)

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.

Suggested Citation

  • Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael, 2003. "Further Evidence on Hedge Funds Performance," Finance Working Papers 03-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    • Handle: RePEc:hhb:aarfin:2003_005
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    References listed on IDEAS

    as
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    Keywords

    Hedge funds; Investment in securities; Performance; Dynamic strategies; Hedge funds performance;
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