RT Journal Article
SR Electronic
T1 The Difficulties of Measuring the Benefits of Hedge Funds
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 31
OP 41
DO 10.3905/jai.2002.319041
VO 5
IS 1
A1 Andreas Signer
A1 Laurent Favre
YR 2002
UL https://pm-research.com/content/5/1/31.abstract
AB In this article, the use of the “mean-variance approach” for the determination of the benefits of allocations to hedge funds is critically evaluated. The advantages of investing in hedge funds are often explained and demonstrated with reference to a shift in the efficiency frontier of traditional portfolios. The added value of hedge funds is almost always indicated in a mean-standard deviation environment and should in our view be reconsidered. The estimated risk exposure can be quantified by the introduction of value-at-risk analysis corrected according to higher moments of distribution. With this new risk measure, we are able to obtain a corrected value.