1. Comparative Analysis of Hedge Funds and Mutual Funds RiskAdjusted Performances
- Author:
- Engin Avcı and Hind Benmahi
- Publication Date:
- 07-2023
- Content Type:
- Journal Article
- Journal:
- AURUM Journal of Social Sciences
- Institution:
- Altinbas University
- Abstract:
- Collective investment schemes have been utilizing distinct investment strategies to exploit opportunities offered by the financial markets. Among the alternative collective investment schemes, hedge funds and mutual funds have been attracting great interest. The objective of this study is to compare the risk-adjusted performance of hedge fund strategies with mutual funds strategies. The hedge fund indexes and mutual funds indexes, which are calculated by different database providers are utilized for this purpose. In this study, the indexes from three database providers (Eurekahedge, Credit Suisse, Center for International Securities and Derivatives Markets (CISDM)) are analyzed for the 2008-2021 period using distinct performance measurement metrics as Alpha based on the Capital Asset Pricing Model (CAPM), the Sharpe ratio and Sortino ratio; moreover, the MSCI World index has been taken as a benchmark. The findings demonstrated that the majority of hedge fund indices performed better than the benchmark MSCI World and provide better risk-adjusted performance than mutual funds.
- Topic:
- Economy, Mutual Funds, Investment, and Hedge Funds
- Political Geography:
- Global Focus