A primer on commodity hedge funds
Tóm tắt
This article aims to describe the universe of long–short commodity funds and to identify the style that generates the highest α. We construct an extensive database of 683 active commodity hedge funds, covering the January 2000 – December 2010 observation period. Each fund is allocated to one of three styles: long–short futures, long–short equities or funds of funds. Overall, we show that all commodity styles generate αs against the investigated commodity benchmarks. Furthermore, long–short futures managers show the highest αs and Sharpe ratios and the lowest volatility relative to the other styles.
Tài liệu tham khảo
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