HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları

Abstract

This study aimed at comparing the performances of distinct hedge fund strategies and assessing the diversification opportunities using hedge funds. This paper analyses the overall performance of distinct hedge fund strategies (as indices) for the period of 2001-2020. Hedge fund performances are compared using alternative risk adjusted performance metrics; first, alpha based on four asset-pricing models (CAPM, Fama-French 3 factor, Carhart and Fama-French 5 factor models); then, the Sharpe ratio. The findings of the study revealed that almost all hedge fund strategies outperform the benchmark return (MSCI World Index) and are superior in terms of risk/return measures. The alternative risk metrics used in the calculation of risk-adjusted performances did not cause a dramatic change in the rank ordering of the hedge fund strategies.

Keywords

• hedge funds
• alpha
• factor models
• sharpe ratio

HEDGE FUND STRATEGIES: PERFORMANCE, RISK AND DIVERSIFICATION OPPORTUNITIES / Hedge Fon Stratejileri: Performans, Risk Ve Çeşitlendirme Fırsatları

Abstract

Bu çalışmanın amacı farklı hedge fonu stratejilerinin performanslarını karşılaştırmak ve hedge fonları ile çeşitlendirme olasılıklarını değerlendirmektir. Bu çalışmada 2001-2020 zaman periyodunda farklı hedge fon stratejilerinin (endeks bazında) performansları analiz edilmiştir. Alternatif risk ölçütleri kullanılarak hedge fonları performansları ölçülmüştür. Bunlardan 4 varlık fiyatlama modeline (CAPM, Fama-French 3 Faktör, Carhart ve Fama-French 5 Faktör modelleri) dayanan Alpha, diğeri ise Sharpe rasyosudur. Çalışmanın bulguları, hemen hemen tüm hedge fon stratejilerinin kıyas alınan getiriden (MSCI Dünya Endeksi) daha iyi performans gösterdiğini ve risk/getiri ölçütleri açısından üstün olduğunu ortaya koymuştur. Riske göre ayarlanmış performansların hesaplanmasında kullanılan alternatif risk ölçütleri, hedge fon stratejilerinin performans sıralamasında önemli bir değişikliğe neden olmamıştır.

Keywords

• hedge fonlari
• alpha
• faktor modelleri
• sharpe rasyosu

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