Atlanta Fed Q4 Economic Review: Focus on Hedge Funds
Feb 22nd, 2007 | Filed under: Hedge Fund Industry TrendsAs we discussed yesterday, the Atlanta Fed dedicated its Q4 ‘06 Economic Review to hedge funds, featuring lengthy articles from Fung & Hsieh, Andrew Lo and fellow academics from Columbia, UMass, & UC San Diego. The articles were based on presentations given by these luminaries at the Atlanta Fed’s scary-sounding May ‘06 conference ”Hedge Funds: Creators of Risk?”.
There are over a hundred pages of interesting, easy-to-read, research here if you ever get stuck on a Jet Blue aircraft on the runway in a blizzard. But in case you don’t have the luxury, we’ve pulled a few interesting charts and observations for you.
Fung & Hsieh Update 1997 Study on Hedge Fund Correlation to 8 Traditional Asset Classes
Fung & Hsieh provide succinct proof that hedge funds are uncorrelated to traditional asset classes by comparing the January 2005 Morningstar mutual fund data to data from various hedge fund databases. They ”re-regress” returns against 8 asset classes from their original ‘97 research and find that hedge funds continue to have a much lower correlation to these betas than do mutual funds…
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