Hutson, Elaine

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Hutson, Elaine
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Hutson, Elaine

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  • Publication
    The performance and diversification benefits of funds of hedge funds
    (University College Dublin. School of Business. Centre for Financial Markets, 2004)
    Denvir, Emily 
    ;
    Hutson, Elaine 
    We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge fund index on a risk-adjusted basis. However, FOHFs have characteristics that offset their apparent underperformance. Their returns do not suffer from negative skewness that is a feature of many hedge fund strategies. In addition, we find that FOHFs have lower correlations (than the hedge fund index) with stock indices in both bull and bear markets, making them a better diversification tool in equity portfolios. For bond portfolios, however, FOHFs have no diversification advantage over hedge fund indexing.
      803
  • Publication
    Are fund of hedge fund returns asymmetric?
    (University College Dublin. School of Business. Centre for Financial Markets, 2004)
    Lynch, Margaret 
    ;
    Hutson, Elaine 
    ;
    Stevenson, Max 
    We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. However, we argue that the skewness statistic can lead to erroneous inferences regarding the nature of the return distribution, because the test statistic is based on the normal distribution. Using a series of tests that make minimal assumptions about the shape of the underlying distribution, we find very little skewness in the returns of funds of funds, and when we do find evidence of asymmetry it is close to the mean rather than in the tails.
      252
  • Publication
    Hedge funds : the case for disclosure regulation
    (Irish Bankers' Federation, 2003)
    Hutson, Elaine 
    ;
    Donabedian, Michelle 
    Unlike mutual and pension funds, which are heavily regulated in most juristrictions, hedge funds are largely unregulated. Because they are not required to report to regulators and to the public, data on hedge fund performance are highly biased, overestimating returns and underestimating risk. Recent debate regarding regulation has centred on market integrity and systematic risk issues. This articles presents the case for a change in focus towards consumer protection as the most important regulatory issue and recommends that performance reporting should be made mandatory.
      271