Investment Strategy and Return Distribution

It has been empirically observed that different investment strategies significantly alter the return distribution, particularly the means and standard deviation. For example, standard deviation, a common risk metric, varies from a low 2.1% in market neutral funds to 16.3% in Global/Macro funds.

Consequently, it has been argued it would be better to apply separate risk measures for each hedge fund type (according to its strategy), rather than treating all hedge funds as part of 1 homogenous class.

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