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January 29, 2006
Study on hedge funds by Edhec
Investors are gradually recognizing the benefits offered by hedge funds. This has further spurred the need for research and study in the field. Keeping this in view, a study has been carried out by Lionel Martellini and Volker Ziemann of the Edhec Risk and Asset Management Research Centre.
The study is titled, ‘The Benefits of Hedge Funds in Asset Liability Management’. This would be presented at the Edhec Hedge Fund Days in London from 14-16 February.
The study specifies that Hedge funds do not fall into a strategic asset class. This is because hedge funds are heterogeneous and cannot be modeled. Further, it also reports that an allocation of 20 per cent to hedge funds can reduce a fund’s probability of extreme loss by 50 per cent. Hedgeweek reports:
This study allows for the identification of hedge fund styles that enable the risk parameters of the stock and bond classes to be improved over the long-term.
Rather than identifying a hedge fund class, this approach therefore involves including hedge funds in fixed-income and equity management.
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