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- W2005361699 abstract "Measured correlations between hedge fund returns and world equities are currently very high, prompting some pundits to question the diversification benefits of hedge funds. We show that this correlation is a short-term phenomenon driven by the pursuit of absolute returns by hedge funds. Measured correlations provide a very limited understanding of the relationship between a dynamic trading strategy and passive investment benchmarks. We estimate the performance contributions of alternative risk factors and show that they drive the evolution of hedge fund correlations to traditional investments. In addition, we observe that the non-alternative components of hedge fund performance exhibit more stable relationships with traditional investments. Our analysis clearly refutes the hypothesis that hedge funds have lost their diversification benefits." @default.
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- W2005361699 date "2008-08-01" @default.
- W2005361699 modified "2023-09-25" @default.
- W2005361699 title "What correlation does not tell you about hedge funds: A factor approach to hedge fund correlations" @default.
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- W2005361699 doi "https://doi.org/10.1057/jdhf.2008.10" @default.
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