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The Journal of Alternative Investments

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Estimating Risk Premiums of Individual Hedge Funds

Scott Mackey
The Journal of Alternative Investments Spring 2006, 8 (4) 1-9; DOI: https://doi.org/10.3905/jai.2006.627846
Scott Mackey
An associate professor at Central Connecticut State University, School of Business, Department of Finance in New Britain, CT.
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  • For correspondence: mackeys@ccsu.edu
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Abstract

This paper introduces a methodology for estimating the risk premiums earned by individual hedge funds and provides results of the distribution of risk premiums both within and between various hedge fund strategies. Results indicate that the majority of funds earn average excess return greater than the expected excess return based on the estimated total average risk premium. Although there is wide variation of the estimated risk premiums within each strategy, much of the variation is concentrated in the bottom and top-performing funds.

TOPICS: Real assets/alternative investments/private equity, analysis of individual factors/risk premia, performance measurement

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The Journal of Alternative Investments
Vol. 8, Issue 4
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Estimating Risk Premiums of Individual Hedge Funds
Scott Mackey
The Journal of Alternative Investments Mar 2006, 8 (4) 1-9; DOI: 10.3905/jai.2006.627846

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Estimating Risk Premiums of Individual Hedge Funds
Scott Mackey
The Journal of Alternative Investments Mar 2006, 8 (4) 1-9; DOI: 10.3905/jai.2006.627846
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