Please use this identifier to cite or link to this item: http://hdl.handle.net/11328/1772
Title: Market neutral hedge funds strategies: Are they really neutral?
Authors: Mendes­-Ribeiro, Mafalda
Machado-Santos, C.
Keywords: Hedge funds
Market neutral strategies
Hedging
Issue Date: 2011
Citation: Mendes-­Ribeiro, M., & Machado-Santos, C. (2011). Market neutral hedge funds strategies: Are they really neutral? European Journal of Finance and Banking Research, 4 (4), 11-22. Disponível no Repositório UPT, http://hdl.handle.net/11328/1772
Abstract: The objective of this paper is to examine whether Market Neutral hedge funds strategies are exposed to the equity market or if they are in fact Market Neutral. Using two main database hedge funds indexes, EDHEC and CSFB Tremont, and contrasting them to the MSCI World Index, from January 1998 to December 2008, we performed a comparative analysis on the most representative Market Neutral hedge funds strategies. We examine for its neutrality and analyze what kind of strategies consistently perform differently over time, considering four strategies of Market Neutral hedge funds. The results, based on monthly returns, suggest that neutrality in the so-called arbitrage and pure alpha strategies do not perform differently from the traditional capital market, leading to the conclusion that neutrality in hedge funds, given their investment characteristics, is not as accurate as one may suppose. In such a context, mutual funds’ managers should be aware of their hedge funds picking strategies when diversifying portfolios based on the neutrality of these hedge funds.
URI: http://hdl.handle.net/11328/1772
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

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