Hedge Fund Investment Returns and Performance

Lee, David (2024): Hedge Fund Investment Returns and Performance.

Abstract

This paper presents a model to calculate daily returns and corresponding value changes of hedge funds. In the past, the values of hedge funds were typically available on a monthly basis. The model link daily hedge fund performance with the returns on indices selected to provide a comprehensive spectrum of possible market exposures. The model gives an estimate of the daily returns of hedge funds based on the daily values of a list of market indices. The daily return of each hedge fund is estimated as a linear combination of daily market index returns. The coefficients of this linear combination are obtained through linear regression of monthly index returns against monthly hedge fund returns.

• Item Type: MPRA Paper
• Language: English
• Keywords: hedge fund performance, daily return, cash flow, market index, linear regression.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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