Hedge Funds as a Diversification Vehicle
Journal article, Peer reviewed
Accepted version
Åpne
Permanent lenke
http://hdl.handle.net/11250/2637166Utgivelsesdato
2019Metadata
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- NTNU Handelshøyskolen [1623]
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Sammendrag
This study evaluates the out-of-sample diversification benefits of including hedge fund indexes in global stock-bond portfolios. The topic is investigated by assessing several asset allocation strategies from 1998 to 2016. Interestingly, the findings show, in general, no significant increase in performance when hedge funds are included in a portfolio, compared to a well-diversified portfolio as a benchmark. A certain degree of risk reduction is observed when including hedge funds in the portfolio, but the performance does not improve significantly, on average. This study extends the literature on portfolio performance when including hedge funds in a multi-asset portfolio, using more asset allocation strategies and a comprehensive dataset compared to previous studies.