Do Hedge Funds Outperform Stocks and Bonds?
使用基于效用的非参数和参数绩效指标，评估了对冲基金策略相对于美国股票和债券市场的表现，发现多空股票对冲和新兴市场策略优于股票市场，而多空股票对冲、多策略、管理期货和全球宏观策略优于债券市场。
Hedge funds' extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric and parametric performance measures to determine which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated return distributions indicate that the long/short equity hedge and emerging markets hedge fund strategies outperform the U.S. equity market, and the long/short equity hedge, multistrategy, managed futures, and global macro hedge fund strategies dominate the U.S. Treasury market. This paper was accepted by Wei Jiang, finance.