The option CAPM and the performance of hedge funds |
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| Authors: | Antonio Diez de los Rios René Garcia |
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| Institution: | 1.Financial Markets Department,Bank of Canada,Ottawa,Canada;2.Finance, Law and Accounting Department,EDHEC Business School,Nice,France |
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| Abstract: | We evaluate the investment performance of hedge funds using an asset pricing model that is characterized by a piecewise-linear
stochastic discount factor, and which we estimate using the generalized method of moments by minimizing the Hansen–Jagannathan
distance. Our results show that, once non-linearities and public information are taken into account, there is only evidence
of positive performance for the overall hedge fund index, equity-market neutral strategy and the global macro strategy. |
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