Implications of Higher Order Risk Factors for Hedge Fund Performance
نویسندگان
چکیده
This paper investigates the performance of hedge funds adjusted for higher order risk factors. Traditional risk-adjusted performance measures are subject to size distorted in the presence of skewness and kurtosis. A residual augmented least squares approach to model higher order risk moments in returns allows us to estimate a robust risk-adjusted performance measure for hedge funds. In a comparison of two styles of hedge funds, emerging market hedge funds are found to generate superior performance with higher positive significant alpha values than long/short equity funds. JEL Classification: G11, G12, G14
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