publication . Research . 2004

Are fund of hedge fund returns asymmetric?

Lynch, Margaret; Hutson, Elaine; Stevenson, Max;
Open Access English
  • Published: 01 Jan 2004
  • Publisher: University College Dublin. School of Business. Centre for Financial Markets
  • Country: Ireland
We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. However, we argue that the skewness statistic can lead to erroneous inferences regarding the nature of the return distribution, because the test statistic is based on the normal distribution. Using a series of tests that make minimal assumptions about the shape of the underlying distribution, we find very little skewness in the returns of funds of funds, and when we do find evidence of asymmetry it is close to the mean rather than in the tails.
Medical Subject Headings: health care economics and organizations
free text keywords: Hedge funds--Statistics, Hedge funds--Evaluation
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