Different Investment Strategies Of Hedge Fund Performance Evaluation

This dissertation tries to establish performance appraisal system for differentinvestment strategies of hedge funds and appraise performances of these hedge fundsfrom 1994 to 2005.The first part of the dissertation describes twelve usually used investment strategies:equity market neutral hedge funds, global macro hedge funds, long/short equity hedgefunds, convertible arbitrage hedge funds, dedicated short hedge funds, emergingmarket hedge funds, event driven hedge funds, distressed security hedge funds, riskarbitrage hedge funds, fixed income arbitrage hedge funds, managed futures hedgefunds and multi-strategy hedge funds.Secondly, this dissertation uses four methods (average return ratio, Sharp ratio,appraisal ratio and win-loss ratio) to appraise the risk-adjusted returns of these twelveinvestment strategies, and then tests short-term persistence, long-term persistence ofthese strategies and the consistency of the four performance appraisal methods. Basedon those discussion and tests, performance appraisal for the twelve investmentstrategies of hedge funds can be gotten.In the end, conclusion can be drawn: performances of the twelve hedge strategies aresomewhat persistent, and the results of the four risk-adjusted returns appraisalmethods are consistent;there is big difference among performances of different hedgestrategies, and generally speaking, the performances of distressed security hedgefunds in the late 12 years were the best, and dedicated short hedge funds were theworst.