January 2013
Beginner
350 pages
10h 25m
English
book
Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance
by Kevin R. Mirabile
Content preview from Hedge Fund Investing: A Practical Approach to Understanding Investor Motivation, Manager Profits, and Fund Performance
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Strategy Performance and Risk Metrics—Multistrategy Funds
Multistrategy funds have delivered the best overall performance of any hedge fund category. The strategy has produced higher annualized returns, lower volatility, a better Sharpe ratio, and more alpha than global macro, long and short equity, fixed-income relative value, and convertibles. This performance is primarily due to the ability of a multistrategy fund to dynamically allocate capital to capture trends and dislocations within the various strategies and styles and to their ability to manage risks more effectively than single-strategy funds. Table 8.2 shows the performance of the multistrategy style versus various stock and bond indices from 1998 to March 2012.
Table 8.2 Multistrategy Statistics.
Source: HFRX Indices, Bloomberg.
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