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Primary Article

An Examination of Hedge Fund Return Distributions

Mark J.P. Anson
Special Issues Fall 2002, 2002 (1) 14-27
Mark J.P. Anson
Chief investment officer at CalPERS Investment Office in Sacramento, CA.
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  • For correspondence: mark@calpers.ca.gov
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Abstract

This article examines the return distributions associated with hedge funds. It classifies hedge fund investment strategies into two groups: those with exposure to credit risk, and those with exposure to market risk. Hedge fund strategies with exposure to credit risk demonstrate large downside tails in the distributions of their returns, consistent with distributions of high-yield bonds. Hedge funds that take market risk have a return distribution consistent with that of large-capitalization stocks. Hedge funds with limited or no market and credit risk (market-neutral) have returns that approximate a normal distribution.

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Special Issues: 2002 (1)
Hedge Fund Strategies: A Global Outlook
Vol. 2002, Issue 1
Fall 2002
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An Examination of Hedge Fund Return Distributions
Mark J.P. Anson
Special Issues Sep 2002, 2002 (1) 14-27;

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An Examination of Hedge Fund Return Distributions
Mark J.P. Anson
Special Issues Sep 2002, 2002 (1) 14-27;
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