Český finanční a účetní časopis 2017(2):23-45 | DOI: 10.18267/j.cfuc.495

Is it an investment in hedge funds actually linked to a higher rate of return and risk compared to alternative investments?

Jitka Veselá1, Martin Chalupa2
1 Metropolitní univerzita Praha, katedra mezinárodního obchodu, ul. Prokopova 100/16, 130 00 Praha 3.
2 Vysoká škola ekonomická v Praze, Fakulta financí a účetnictví, katedra bankovnictví a pojišťovnictví, nám. W. Churchilla 4, 130 67 Praha 3.

This article focuses on the hedge fund industry, its specifics and impact on the financial system and, in particular on the rate of return, risk and performance produced by the sector. The rate of return, risk and performance of the hedge funds and other asset classes were derived from monthly returns, standard deviation and Sharpe ratios. The time periods 1997-2016 and 2000-2016 were considered. The hedge fund industry, compared to the stock market, the gold market, and the overall commodity market, brought a significantly higher return at a lower risk in the considered period. In the past years, as the two-dimensionally most powerful hedge funds in the short and long term appeared to be smaller funds managing assets up to 100 million USD, and in the medium term the largest funds managing assets over 1 billion USD. From the point of view of geographic asset allocation, the highest twodimensional performance was shown by funds allocating their assets to North American markets.

Keywords: Hedge fund; Rate of return; Risk; Sharpe ratio; Eurekahedge index.
JEL classification: G10, G11

Published: February 1, 2018  Show citation

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Veselá, J., & Chalupa, M. (2017). Is it an investment in hedge funds actually linked to a higher rate of return and risk compared to alternative investments? Czech Financial and Accounting Journal, 2017(2), 23-45. doi: 10.18267/j.cfuc.495
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