The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors

By Chris Brooks, H. M. Kat. 2001

478 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fe10b1531d0661270fcc31862bb63aac0ce7080e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Wing-Keung Wong
2. K. Phoon
3. Hooi Hooi Lean
4. Martin Eling
5. Robert T. Daigler
6. B. Malkiel
7. Muhammad Shahbaz
8. Ilhan Ozturk

In Finance

1. Wing-Keung Wong
2. K. Phoon
3. Hooi Hooi Lean
4. Martin Eling
5. Robert T. Daigler
6. Atanu Saha
7. B. Malkiel
8. R. Faust

Citations in the corpus

• Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “23The effects of various types of biases and index construction on the properties of fund return indexes are discussed in Brown, Goetzmann, Ibbotson, and Ross (1992), Brooks and Kat (2002), Amin and Kat (2003), and Brulhart and Klein (2005).”
• Is international diversification really beneficial (2010, background): “Another disadvantage of the Sharpe ratio is given by Brooks and Kat (2002), who show that the Sharpe ratio substantially overestimates the true”
• The Sharpe Ratio Efficient Frontier (2012, unknown): “Brooks and Kat (2002) report that the HFR Aggregate Hedge Fund returns index exhibits ̂ and ̂ .”
• Does the Measure Matter in the Mutual Fund Industry? (2008, methodology): “For this reason, Brooks and Kat (2002), Mahdavi (2004), Sharma (2004), and Sharpe (2007), among others, have claimed that these funds cannot be adequately evaluated by using the Sharpe ratio. This problem motivated the development of numerous new performance measures, including Omega, the Sortino ra”
• Stochastic dominance analysis of Asian hedge funds (2008, background): “Brooks and Kat (2002) found that hedge fund index returns are not normally distributed.”
• Efficient Fund of Hedge Funds Construction Under Downside Risk Measures (2006, unknown): “…properties of hedgefund indices argue that standard methods used for portfolio construction (e.g., mean–variance analysis) can be inadequate for hedge funds, e.g., Agarwal and Naik (2001), Brooks and Kat (2002), Fung and Hsieh (1997), Fung and Hsieh (2001), Martin (2001) and Popova et al. (2003).”
• Hedge Funds: Risk and Return (2005, background): “For example, Brooks and Kat (2002) found that the published hedge fund indices exhibit relatively low skewness and high kurtosis. This combined characteristic is important for investors. Scott and Horvath (1980) showed that under very weak assumptions with respect to investors’ utility functions, in”
• Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, unknown): “For instance, it is well-known that the distribution of hedge fund returns deviates significantly from normality (see, for example, Brooks and Kat, 2002; Agarwal and Naik, 2004; Malkiel and Saha, 2005).”