Hedge Funds: An Investigation of the relationship between the product characteristics and benchmark adopted by reference
Hedge Funds; Return-based style analysis; Benchmark; CDI.
analysis made by the investor, this paper aims to investigate the relationship and adherence of benchmarks used in the investment funds sector to the risk, return, cost and liquidity characteristics of hedge funds. The sample consists of investment funds classified as Fixed Income, Equities and Hedge Fund, excluding exclusive funds. The research aims to measure the four characteristics and compare their results with those of the fixed income and equity fund classes. Next, the study seeks to analyze whether CDI, the most common bechmark in the fund industry, adheres to the characteristics of the hedge funds sample. Finally, the study proposes to use a return-based style analysis model to identify the sensitivity of the sample to risk factors present in the market.