Are hedge funds worth your money? Hedge funds have developed from investment funds that were designed to lower the risk of your portfolio to a multitude of different investment styles with different goals. Their heyday was probably during the 90s and early 2000s when several star hedge fund managers rose to prominence and their assets under management grew significantly. However, since then hedge funds have been under scrutiny as their investment returns have been lacking and their ability to function as a diversification to a traditional stock and bond portfolio was put into question. As hedge funds have their own set of leverage and investment rules it is no wonder they have been accused of being greedy, unsuccessful and secretive. However, with this dataset you can make your own analysis.

Content This dataset covers monthly hedge fund returns starting from 1997. The date column refers to the last day of the month - the end date of the return period, if I understand correctly. There are 12 different hedge fund strategies covered and the return index series are formed as an aggregate of other hedge fund index providers.

The strategy explanations are in EDHEC website:

Convertible Arbitrage - https://risk.edhec.edu/conv-arb/ CTA Global - https://risk.edhec.edu/cta-global/ Distressed Securities - https://risk.edhec.edu/dist-sec/ Emerging Markets - https://risk.edhec.edu/emg-mkts/ Equity Market Neutral - https://risk.edhec.edu/equity-market-neutral/ Event Driven - https://risk.edhec.edu/event-driven/ Fixed Income Arbitrage - https://risk.edhec.edu/fix-inc-arb/ Global Macro - https://risk.edhec.edu/global-macro/ Long/Short Equity - https://risk.edhec.edu/ls-equity/ Merger Arbitrage - https://risk.edhec.edu/merger-arb/ Relative Value - https://risk.edhec.edu/relative-value/ Short Selling - https://risk.edhec.edu/short-selling/ Funds of Funds - https://risk.edhec.edu/fof/ Acknowledgements All credit for the maintenance and upload of the data goes to EDHEC. You should check their website for additional resources:

https://risk.edhec.edu/all-downloads-hedge-funds-indices

Inspiration The EDHEC hedge fund data is the data used in examples/vignettes of PortfolioAnalytics - a package for optimizing, testing and analyzing portfolio returns. You should be easily able to expand the analysis from the vignettes just by using the larger dataset available here:

https://cran.r-project.org/web/packages/PortfolioAnalytics/index.html

Are hedge funds worth your money?

Hedge funds have developed from investment funds that were designed to lower the risk of your portfolio to a multitude of different investment styles with different goals. Their heyday was probably during the 90s and early 2000s when several star hedge fund managers rose to prominence and their assets under management grew significantly. However, since then hedge funds have been under scrutiny as their investment returns have been lacking and their ability to function as a diversification to a traditional stock and bond portfolio was put into question. As hedge funds have their own set of leverage and investment rules it is no wonder they have been accused of being greedy, unsuccessful and secretive. However, with this dataset you can make your own analysis.

Content

This dataset covers monthly hedge fund returns starting from 1997. The date column refers to the last day of the month - the end date of the return period, if I understand correctly. There are 12 different hedge fund strategies covered and the return index series are formed as an aggregate of other hedge fund index providers.

The strategy explanations are in EDHEC website:

• Convertible Arbitrage - https://risk.edhec.edu/conv-arb/
• CTA Global - https://risk.edhec.edu/cta-global/
• Distressed Securities - https://risk.edhec.edu/dist-sec/
• Emerging Markets - https://risk.edhec.edu/emg-mkts/
• Equity Market Neutral - https://risk.edhec.edu/equity-market-neutral/
• Event Driven - https://risk.edhec.edu/event-driven/
• Fixed Income Arbitrage - https://risk.edhec.edu/fix-inc-arb/
• Global Macro - https://risk.edhec.edu/global-macro/
• Long/Short Equity - https://risk.edhec.edu/ls-equity/
• Merger Arbitrage - https://risk.edhec.edu/merger-arb/
• Relative Value - https://risk.edhec.edu/relative-value/
• Short Selling - https://risk.edhec.edu/short-selling/
• Funds of Funds - https://risk.edhec.edu/fof/

Acknowledgements

All credit for the maintenance and upload of the data goes to EDHEC. You should check their website for additional resources:

https://risk.edhec.edu/all-downloads-hedge-funds-indices

Inspiration

The EDHEC hedge fund data is the data used in examples/vignettes of PortfolioAnalytics - a package for optimizing, testing and analyzing portfolio returns. You should be easily able to expand the analysis from the vignettes just by using the larger dataset available here:

https://cran.r-project.org/web/packages/PortfolioAnalytics/index.html

Cash-and-Short-Term-Investments Time Series for BlackRock Inc. BlackRock, Inc. is a publicly owned investment manager. The firm primarily provides its services to institutional, intermediary, and individual investors including corporate, public, union, and industry pension plans, insurance companies, third-party mutual funds, endowments, public institutions, governments, foundations, charities, sovereign wealth funds, corporations, official institutions, and banks. It also provides global risk management and advisory services. The firm manages separate client-focused equity, fixed income, and balanced portfolios. It also launches and manages open-end and closed-end mutual funds, offshore funds, unit trusts, and alternative investment vehicles including structured funds. The firm launches equity, fixed income, balanced, and real estate mutual funds. It also launches equity, fixed income, balanced, currency, commodity, and multi-asset exchange traded funds. The firm also launches and manages hedge funds. It invests in the public equity, fixed income, real estate, currency, commodity, and alternative markets across the globe. The firm primarily invests in growth and value stocks of small-cap, mid-cap, SMID-cap, large-cap, and multi-cap companies. It also invests in dividend-paying equity securities. The firm invests in investment grade municipal securities, government securities including securities issued or guaranteed by a government or a government agency or instrumentality, corporate bonds, and asset-backed and mortgage-backed securities. It employs fundamental and quantitative analysis with a focus on bottom-up and top-down approach to make its investments. The firm employs liquidity, asset allocation, balanced, real estate, and alternative strategies to make its investments. In real estate sector, it seeks to invest in Poland and Germany. The firm benchmarks the performance of its portfolios against various S&P, Russell, Barclays, MSCI, Citigroup, and Merrill Lynch indices. BlackRock, Inc. was founded in 1988 and is based in New York, New York with additional offices in A

Concept: Portfolio investment is divided in assets and liabilities. Portfolio investment assets are transactions and positions realized through capital or debt securities, distinct from those included in direct investment or reserve assets. Flows constituted by the issue of credit securities commonly traded in secondary markets. It is divided in two main instruments: equity and investment fund shares; and debt securities. Equity and investment fund shares comprise all registers and instruments that recognize the creditors’ rights to the residual value of the company, once all creditors’ rights are liquidated. Debt securities are debt instruments require payments of interest or principal on a future moment. The debt instruments that can be traded in secondary markets affect this account. Securities with maturity inferior to one year are considered short term securities. Those of longer maturity are defined as long term securities. Portfolio investments liabilities are transactions and positions realized through capital or debt securities, distinct from those included in direct investment. Flows constituted by the issue of credit securities commonly traded in secondary markets. It is divided in two main instruments: equity and investment fund shares; and debt securities. Equity and investment fund shares comprises all registers and instruments that recognize the creditors’ right to the residual value of the company, once all creditors’ rights are liquidated. Debt securities are debt instruments require payments of interest or principal on a future moment. The debt instruments that can be traded in secondary markets affect this account. Securities with maturity inferior to one year are considered short term securities. Those of longer maturity are defined as long term securities.

ABSTRACT This paper investigates the presence of window dressing in the Brazilian investment fund market, focusing on equity funds. Window dressing is a practice that presents a particular portfolio composition to the market, which is different from that held by the fund in the reporting period. Just before the end of the period, fund managers change their positions with the aim of presenting safer, more profitable securities portfolios. We believe that there is a lack of empirical evidence on this topic in Brazil. Previous research focuses on diversification, style analysis, fund portfolio turnover, manager profile, and performance. Therefore, we believe that our paper is pioneering in presenting results on window dressing in Brazil. With the presence of window dressing, the market may signal distorted results to investors and guide their allocations towards funds in which they would not invest in the absence of such practices. Moreover, the adoption of window dressing may increase transaction costs and thus destroy value. Our results present a connection with previous studies by Bremer and Kato (1996), O’Neal (2001), Ng and Wang (2004), Ortiz, Sarto, and Vicente (2012), and Agarwal, Gay, and Ling (2014). This paper provides evidence of window dressing in Brazilian equity funds and proposes an empirical study to verify the presence of the practice between 2010 and 2016, using market model residuals, rank gap, and backward holding return gap analysis techniques. In short, our results are consistent with window dressing practices in funds managed by small companies that were losers against the Bovespa Index and presented a high tracking error in the period.

The Portfolio Investment Positions by Counterpart Economy dataset (formerly Coordinated Portfolio Investment Survey, or CPIS) is a voluntary data collection exercise conducted under the auspices of the IMF. To participate, an economy provides data on its holdings of portfolio investment securities (data are separately requested for equity and investment fund shares, long-term debt instruments, and short-term debt instruments). The survey covers end-December holdings from 2001 to date and end-June holdings beginning with data for end-June 2013. All economies are welcome to participate. The IMF augments the data that are reported in the dataset with aggregated data from two other surveys, i.e., Securities Held as Foreign Exchange Reserves (SEFER), and Securities Held by International Organizations (SSIO). SEFER provides geographic and instrument detail on securities that are held as reserve assets, and SSIO provides the geographic and instrument detail on securities that are held by international organizations. Similar to the Portfolio Investment Positions by Counterpart Economy, SEFER is conducted semi-annually starting with data for end-June 2013, whereas SSIO is conducted annually. Data from the portfolio investment positions by counterpart economy (formerly CPIS) and SSIO surveys provide comprehensive information on holdings of portfolio investment securities and, together with aggregated data from the SEFER survey, the geographic detail captured in these three surveys can be used to derive estimates of portfolio investment liabilities. In response to requests from data users, a number of enhancements to the Portfolio Investment Positions by Counterpart Economy (formerly CPIS) were implemented starting with data for end-June 2013. These enhancements include increased frequency (as noted above, semi-annual - data collections were implemented), improved timeliness (acceleration in both the collection and re- dissemination of data), and expanded scope (collection of data on an encouraged basis on the institutional sector of the nonresident issuer of securities; on short or negative positions; and on the institutional sector of the resident holder cross-classified by the institutional sector of selected nonresident issuers).

This study is aimed at investigating the asymmetric and time-frequency co-movements and the hedge or safe-haven properties of carbon efficient indices, the MSCI ACWI Sustainable Impact, and MSCI World EGS indices, in relation to technology and innovation-themed investments. In doing so, the ADCC-GJR-GARCH and wavelet coherence techniques are applied to a daily return series ranging from January 2019 to January 2023. Findings of the ADCC-GJR-GARCH model show negative and insignificant asymmetric linkage among underlying indices during the sample period. The S&P 500 carbon efficient index (CEI) acts as a strong hedge or safe-haven for technology and innovation-themed indices during tranquil and tumultuous periods. The MSCI ACWI Sustainable Impact, MSCI World EGS, and carbon efficient indices except for S&P 500 CEI exhibit weak hedge or safe-haven attributes. Wavelet coherence reveals negative (positive) co-movements between the thematic and carbon efficient indices in short-term (medium-term and long-term) horizons with consistent leading behavior of thematic indices to carbon efficient indices outcomes. It justifies the presence of short-lived hedging or safe-haven characteristics in the thematic domain for investors. These strong and weak hedge or safe-haven characteristics of low carbon and sustainability indices reveal that adding low carbon efficient and sustainable investments to a portfolio result in considerable diversification benefits for investors who tend to take minimal risk in both tranquil and tumultuous periods. The current findings imply that financial institutions, thematic investing companies, and governments need to encourage carbon efficient technology transfer and innovation-themed investments by increasing the fund allocations in underlying asset classes. Policy-making and regulatory bodies can encourage investors to make carbon-efficient and thematic investments and companies to issue carbon-efficient stocks or investments to safeguard social and economic risks during fragile periods. These investments can offer greater opportunities to combat the intensity of economic shocks on portfolios for responsible or sustainable investors.

Short-Term-Investments Time Series for Aditya Birla Sun Life AMC Limited. Aditya Birla Sun Life AMC Limited is privately owned investment manager. The firm provides its services to individuals including high net worth individuals and institutional clients. It manages separate equity and fixed income portfolios. The firm also manages launches and manages equity and fixed income mutual funds, manages balanced mutual funds, and hedge funds for its clients. It invests in the public equity and fixed income markets across the globe. The firm employs a fundamental analysis to make its investments. It also make real estate investments. It was founded in 1994 and is based in Mumbai, India with an additional office in Ahmedabad, India. The firm was formerly known as Birla Sun Life Asset Management Company Limited.

Cash-and-Short-Term-Investments Time Series for Empiric Student Property Plc. Empiric Student Property plc is a leading provider and operator of modern, predominantly direct-let, premium student accommodation serving key UK universities. Investing in both operating and development assets in a multi building cluster operational model, Empiric is a fully integrated operational student property business focused on premium studio-led accommodation managed through its Hello Student operating platform, which is attractive to affluent growing student segments. The Company, an internally managed real estate investment trust (REIT) incorporated in England and Wales, listed under the Equity Shares segment of the Official List of the Financial Conduct Authority and was admitted to trading on the main market for listed securities of the London Stock Exchange in June 2014. The Company is classified as a commercial company listed under the UK Listing Rules and as such is not an alternative investment fund (AIF) for the purposes of the Alternative Investment Fund Managers Directive (AIFMD) and is not required to provide investors with a Key Information Document (KID) in accordance with the Packaged Retail and Insurance-based Investment Products (PRIIPs) regulations.

Concept: Portfolio investment is divided in assets and liabilities. Portfolio investment assets are transactions and positions realized through capital or debt securities, distinct from those included in direct investment or reserve assets. Flows constituted by the issue of credit securities commonly traded in secondary markets. It is divided in two main instruments: equity and investment fund shares; and debt securities. Equity and investment fund shares comprise all registers and instruments that recognize the creditors’ rights to the residual value of the company, once all creditors’ rights are liquidated. Debt securities are debt instruments require payments of interest or principal on a future moment. The debt instruments that can be traded in secondary markets affect this account. Securities with maturity inferior to one year are considered short term securities. Those of longer maturity are defined as long term securities. Portfolio investments liabilities are transactions and positions realized through capital or debt securities, distinct from those included in direct investment. Flows constituted by the issue of credit securities commonly traded in secondary markets. It is divided in two main instruments: equity and investment fund shares; and debt securities. Equity and investment fund shares comprises all registers and instruments that recognize the creditors’ right to the residual value of the company, once all creditors’ rights are liquidated. Debt securities are debt instruments require payments of interest or principal on a future moment. The debt instruments that can be traded in secondary markets affect this account. Securities with maturity inferior to one year are considered short term securities. Those of longer maturity are defined as long term securities.

Cash-and-Short-Term-Investments Time Series for Supermarket Income REIT PLC. Supermarket Income REIT plc (LSE: SUPR, JSE: SRI) is a real estate investment trust dedicated to investing in grocery properties which are an essential part of the feed the nation infrastructure. The Company focuses on grocery stores which are omnichannel, fulfilling online and in-person sales. The Company's supermarkets are let to leading supermarket operators in the UK and Europe, diversified by both tenant and geography. The Company's assets earn long-dated, secure, inflation-linked, growing income. The Company targets a progressive dividend and the potential for capital appreciation over the longer term. The Company is listed on the Closed-ended investment funds category of the FCA's Official List and its Ordinary Shares are traded on the LSE's Main Market. The Company also has a secondary listing on the Main Board of the JSE Limited in South Africa. Atrato Capital Limited is the Company's Investment Adviser.

Short-Term-Investments Time Series for China Fortune Financial Group Ltd. GoFintech Quantum Innovation Limited, an investment holding company, provides securities and insurance brokerage, equity investment, asset management, margin and corporate finance, money lending, and supply chain operation services in Hong Kong and the People's Republic of China. It operates through Securities Brokerage and Margin Financing, Corporate Finance, Money Lending, Consultancy and Insurance Brokerage, Asset Management, Equity Investment, Supply Chain Operations, and Investments in Artworks segments. The company offers securities dealing, brokerage, placing, and underwriting services; and account opening, deposit and withdrawal, and internet trading services. It also provides IPO sponsor, fundraising, compliance advisory, and other investment banking services; asset management and advisory services for securities and futures contracts; and wealth management services. In addition, the company offers property mortgage, share pledge, corporate loan, personal loan, and various types of lending services; manages private equity investment funds, private equity and venture capital FOF funds, and venture capital funds; immigration services; and management of financial investments. The company serves corporate, institutional, and retail customers. The company was formerly known as GoFintech Innovation Limited and changed its name to GoFintech Quantum Innovation Limited in March 2025. GoFintech Quantum Innovation Limited was incorporated in 2001 and is headquartered in Central, Hong Kong.

Short-Term-Debt Time Series for Temple Bar Investment Trust. Temple Bar Investment Trust PLC is a closed-ended equity mutual fund launched and managed by RWC Asset Management LLP. The fund invests in the public equity markets of the United Kingdom. It seeks to invests in stocks of companies operating across diversified sectors. The fund primarily invests in stocks of companies across all market capitalizations, which are constituents of the FTSE 350 Index. It benchmarks the performance of its portfolio against the FTSE All-Share Index. Temple Bar Investment Trust PLC was formed in 1926 and is domiciled in the United Kingdom.

Cash-and-Short-Term-Investments Time Series for JPMorgan Smaller Companies Investment Trust Plc. JPMorgan Smaller Companies Investment Trust plc is a close-ended equity mutual fund launched and managed by JPMorgan Funds Limited. The fund is co-managed by JPMorgan Asset Management (UK) Limited. It invests in the public equity markets of the United Kingdom. The fund invests in stocks of companies operating across diversified sectors. It typically invests in small-cap companies. The fund benchmarks the performance of its portfolio against the FTSE Small Cap (ex Inv Companies) (£) Index. It was formerly known as JPMorgan Fleming Smaller Companies Investment Trust and Fleming Smaller Companies Investment Trust. JPMorgan Smaller Companies Investment Trust plc was formed in June 1, 1990 and is domiciled in the United Kingdom.

Cash-and-Short-Term-Investments Time Series for China Construction Bank Co. China Construction Bank Corporation engages in the provision of various banking and related financial services to individuals and corporate customers in the People's Republic of China and internationally. It operates through Corporate Finance Business, Personal Finance Business, Treasury and Asset Management Business, and Others segments. The company offers corporate and personal loans; trade financing; care business; deposit taking and wealth management, agency, financial consulting and advisory, cash management, remittance and settlement, guarantee, and investment banking services to individuals, corporations, government agencies, and financial institutions. It also involved in inter-bank deposit and placement transactions, repurchase and resale transactions, and invests in debt securities; trades in derivatives and foreign currencies; precious metal trading; and custody services. In addition, the company provides finance leasing, transfer and purchase of finance lease assets, and fixed-income investment; motor vehicle, business and household property, construction and engineering, liability insurance, hull and cargo, and short-term health and accidental injury insurance, as well as reinsurance; and cost consulting, whole-process engineering consulting, project management, investment consulting, and bidding agency services; and debt-to-equity swaps and relevant supporting businesses. Further, it engages in private equity investment and management of development funds and other private equity funds; investment banking related services, such as sponsoring and underwriting of public offerings, corporate merger and acquisition and restructuring, direct investment, asset management, and securities brokerage and market research; house rental business; raising and selling of funds; management of annuity and pension funds; and pension advisory service. China Construction Bank Corporation was founded in 1954 and is headquartered in Beijing, the People's Republic of China.

Short-Term-Investments Time Series for RHB Bank Bhd. RHB Bank Berhad provides commercial banking and finance related products and services in Malaysia and internationally. Its Group Community Banking segment offers mortgages, non-residential mortgages, hire purchase, purchase of securities, credit cards, other personal loans, financing, remittances, deposits collection, investment related, and bancassurance/bancatakaful products to individual customers; financing solutions to SMEs and family-owned enterprises, as well as trade and cash management solutions for SMEs. Its Group Wholesale Banking segment provides treasury products and solutions; conventional and Shariah-compliant financing solutions; corporate and debt restructuring, mergers and acquisitions, and takeovers advisory services, as well as fundraising services for institutional and retail clients; stockbroking and investment banking products and services; management of unit trust funds, investment management advisory, private mandates, product development, and trustee services; financing, deposits, cash management, trade finance, FX, and remittance services; and supply chain financing solutions, as well as provides advice on economic developments and trends. Its Group International Business segment offers commercial and investment banking related products and services in Singapore, Thailand, Brunei, Cambodia, and Lao. Its Insurance segment provides general insurance for retail, SME, commercial, and corporate customers. Its Support Center and Others segment offers nominee, property investment and rental of premises, and other related financial services. The company also provides Islamic, merchant, and offshore banking; leasing, general insurance, custodian, fiduciary, asset management, margin financing, and underwriting services. In addition, it leases industrial construction, business equipment, and motor vehicles; deals in securities, futures, and options contracts; and invests and manages properties. RHB Bank Berhad is based in Kuala Lumpur, Malaysia.