Market neutral hedge funds strategies: Are they really neutral?

dc.contributor.authorMendes-Ribeiro, Mafalda
dc.contributor.authorMachado-Santos, Carlos
dc.date.accessioned2017-03-14T14:29:47Z
dc.date.available2017-03-14T14:29:47Z
dc.date.issued2011
dc.description.abstractThe 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.pt_PT
dc.identifier.citationMendes-­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/11328/1772pt_PT
dc.identifier.urihttp://hdl.handle.net/11328/1772
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.relation.publisherversionhttp://globip.com/articles/european-vol4-article2.pdfpt_PT
dc.rightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectHedge fundspt_PT
dc.subjectMarket neutral strategiespt_PT
dc.subjectHedgingpt_PT
dc.titleMarket neutral hedge funds strategies: Are they really neutral?pt_PT
dc.typejournal articlept_PT
degois.publication.firstPage11pt_PT
degois.publication.issue4pt_PT
degois.publication.lastPage22pt_PT
degois.publication.titleEuropean Journal of Finance and Banking Researchpt_PT
degois.publication.volume4pt_PT
dspace.entity.typePublicationen
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