The option CAPM and the performance of hedge funds

We evaluate the investment performance of hedge funds using an asset pricing model that is characterized by a piecewise-linear stochastic discount factor, and which we estimate using the generalized method of moments by minimizing the Hansen–Jagannathan distance. Our results show that, once non-line...

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Veröffentlicht in:	Review of derivatives research 2011-07, Vol.14 (2), p.137-167
Hauptverfasser:	Diez de los Rios, Antonio, Garcia, René
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Derivatives Economics and Finance Equity Finance Generalized method of moments Hedge funds Hypotheses Investment advisors Investments and Securities Performance evaluation Put & call options Return on investment Studies
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Beschreibung
Zusammenfassung:	We evaluate the investment performance of hedge funds using an asset pricing model that is characterized by a piecewise-linear stochastic discount factor, and which we estimate using the generalized method of moments by minimizing the Hansen–Jagannathan distance. Our results show that, once non-linearities and public information are taken into account, there is only evidence of positive performance for the overall hedge fund index, equity-market neutral strategy and the global macro strategy.
ISSN:	1380-6645 1573-7144
DOI:	10.1007/s11147-011-9062-9