Comparative Analysis of Hedge Funds and Mutual Funds Risk-Adjusted Performances

Authors : Hind BENMAHİ, Emin AVCI

Pages : 31-47

View : 38 | Download : 65

Publication Date : 2023-06-20

Article Type : Research Paper

Abstract :Collective investment schemes have been utilizing distinct investment strategies to exploit opportunities offered by the financial markets. Among the alternative collective investment schemes the hedge funds and mutual funds have been attracting great interest. The objective of this study is to compare risk adjusted performance of hedge fund strategies with mutual funds strategies. The hedge fund indexes and mutual funds indexes, which are calculated by different database providers are utilized for this purpose. In this study, the indexes from three database providers insert ignore into journalissuearticles values(Eurekahedge, Credit Suisse, CISDM); are analyzed for the 2008-2021 period using distinct performance measurement metrics as Alpha based on the Capital Asset Pricing Model insert ignore into journalissuearticles values(CAPM);, the Sharpe ratio and Sortino ratio; moreover, the MSCI World index has been taken as a benchmark. The findings demonstrated that the majority of hedge fund indices performed better than the benchmark MSCI World and provide better risk-adjusted performance than mutual funds.
Keywords : Serbest Yatırım Fonları, Sharpe Rasyonu, Sortino Rasyonu