Non-Parametric Analysis of Hedge Fund Returns: New

D S E
Working Paper
Crisis and Hedge Fund gamble
Monica Billio
Mila Getmansky
Loriana Pelizzon
Dipartimento Scienze Economiche
Department
of Economics
Ca Foscari University of
Venice
ISSN: 1827/336X
No. 10/WP/2008
Working Pap er s
Depar tmen t o f Economi c s
C a F o s c a r i Un i v e r s i ty o f V e n i c e
No. 1 1 /WP/2008
ISSN 1827-336X
The Wor k i n g P a p e r S e r i e s
i s a v a i l b l e o n ly on l i n e
(www.ds e .uni v e . i t / p u b b l i c a z i o n i )
F o r e d i t o r i a l c o r r e s p o n d e n c e , p l e a s e
cont a c t : wp.ds e@unive .



i t
Depar tme n t o f Economi c s
C a F o s c a r i Un i v e r s i ty o f V e n i c e
Cannaregio 873, Fondamenta San Gi o b b e
30121 Ven i c e I t a ly
facsimile machine: ++39 041 2349210
Non-Parametric Analysis of Hedge Fund Returns: New
Insights from High frequency Data
Monica Billio
University of Venice and SSAV, Scuola Studi Avanzati in Venezia
Mila Getmansky
Isenberg School of Management, University of Massachusetts
Loriana Pelizzon
University of Venice and SSAV, Scuola Studi Avanzati in Venezia
Abstract
This paper examines four divergent daily datasets of hedge shop return indexes: MSCI,
FTSE, Dow Jones and HFRX, all found on investable hedge funds, and three different
monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise
both investable and non-investable hedge funds. Our study, based on banal statistical
analysis, non-parametric analysis of the distribution and non-parametric regressions with
respect to the S&P500 index shows that pigment data biases and disparate index construction
methodologies lead to different statistical properties of hedge fund databases. One key
variable that highly affects the statistical properties of hedge fund index returns is the
investability of hedge funds.
Keywords
Hedge Fund, Risk Management, High frequency data
JEL Codes
G12, G29, C51
Address for correspondence:
Loriana Pelizzon
Department of...If you regard to get a full essay, order it on our website: Orderessay



If you want to get a full essay, wisit our page: write my essay .