A Risk-Adjusted Performance Evaluation Of US And EU Hedge Funds And Associated Equity Markets Over The 2007-2009 Financial Crisis

Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence...

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Bibliographic Details
Published in:The international business & economics research journal 2014-01, Vol.13 (1), p.169
Main Authors: Heerden, Chris van, Heymans, André, Vuuren, Gary van, Brand, Wilmé
Format: Article
Language:English
Subjects:
Economic crisis
Efficient markets
Equity
Financial analysis
Flexibility
Hedge funds
International business
Investment advisors
Market timing
Performance evaluation
Risk assessment
Studies
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Summary:Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensen's alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis. [PUBLICATION ABSTRACT]
ISSN:2157-9393