Review of Derivatives Research

, Volume 14, Issue 2, pp 137–167 | Cite as

The option CAPM and the performance of hedge funds

  • Antonio Diez de los Rios
  • René Garcia


We evaluate the investment performance of hedge funds using an asset pricing model that is characterized by a piecewise-linear stochastic discount factor, and which we estimate using the generalized method of moments by minimizing the Hansen–Jagannathan distance. Our results show that, once non-linearities and public information are taken into account, there is only evidence of positive performance for the overall hedge fund index, equity-market neutral strategy and the global macro strategy.


Hedge funds Non-linear return structure Performance evaluation 

JEL Classification

C1 C5 G1 


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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Financial Markets DepartmentBank of CanadaOttawaCanada
  2. 2.Finance, Law and Accounting DepartmentEDHEC Business SchoolNiceFrance

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