Universidad Complutense de Madrid
E-Prints Complutense

Hedge Fund Portfolio Diversification Strategies Across the GFC

Impacto

Downloads

Downloads per month over past year



Allen, David E. and McAleer, Michael and Peiris, Shelton and Singh, Abhay K. (2014) Hedge Fund Portfolio Diversification Strategies Across the GFC. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 32, 2014, ISSN: 2341-2356 ] (Unpublished)

[img]
Preview
PDF
Creative Commons Attribution Non-commercial Share Alike.

1MB

Official URL: http://eprints.ucm.es/27823/




Abstract

This paper features an analysis of the e_ectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The 17-year period runs from the beginning of 1997 to the end of August 2014. The sample period, which incorporates both the Global Financial Crisis (GFC) and subsequent European Debt Crisis (EDC), is a challenging one for the application of diversi_cation and portfolio investment strategies. The analysis features an examination of the diversification bene_ts of hedge fund investments through successive crisis periods. The connectedness of the Hedge Fund Indices is explored via application of the Diebold and Yilmaz (2009, 2014) spillover index. We conduct a series of portfolio optimisation analyses: comparing Markowitz with naive diversi_cation, and evaluate the relative e_ectiveness of Markowitz portfolio optimisation with various draw-down strategies, using a series of backtests. Our results suggest that Markowitz optimisation matches the characteristics of these hedge fund indices quite well.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Hedge Fund Diversi_cation, Spillover Index, Markowitz Analaysis, Downside Risk, CVaR, Draw-Down.
Subjects:Social sciences > Economics > Econometrics
JEL:G11, C61
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2014
Number:32
ID Code:27823
Deposited On:18 Dec 2014 15:24
Last Modified:21 Jan 2016 10:01

Origin of downloads

Repository Staff Only: item control page