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- W1492340427 abstract "In this paper we study the return characteristics and diversification effects of including hedge funds active in the Nordic power market in portfolios of traditional assets. Our results show that the return distribution of a portfolio of power trading hedge funds follows a normal distribution without any significant negative tail and that these funds as an aggregate are uncorrelated to both the equity- and bond market. The portfolio is also uncorrelated to other hedge fund strategies except for a positive correlation with Equity Market Neutral albeit with questionable causality. Using higher co-moment betas we analyse the diversification properties and the results show that hedge funds trading the Nordic power market have a positive effect on portfolio variance, skewness and kurtosis and this is especially the case during the financial crisis in 2008 - 2009. The positive skewness effects are somewhat less pronounced in a portfolio with a high bond allocation." @default.
- W1492340427 created "2016-06-24" @default.
- W1492340427 creator A5074974584 @default.
- W1492340427 date "2010-01-01" @default.
- W1492340427 modified "2023-09-25" @default.
- W1492340427 title "Return Characteristics and Diversification Properties of Hedge Funds Trading Power" @default.
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- W1492340427 doi "https://doi.org/10.2139/ssrn.1537163" @default.
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