We analyse the impact of investment policies, styles and strategies, on performances of hedge funds spanning the periodfrom January 2007 to December 2010. We undertake our performance analysis not at the level of a single fund but on equal-weighted reference portfolios, built from "peer funds intended here as those following the same style or strategy. To this end we establish rules to segregate hedge funds into a range of investment styles. After classifying and aggregating HF returns, we investigate how and if the grouping is consistent in term of return dynamic and if it can explain the risk premium of this asset class. Particulary we measure and study the sign of Alternative Excess Returns, intended as the premia for the alternative investors over a traditional investments. To enforce the analysis we take into account the risk factor in the form of the Risk Adjusted Alternative Excess Return, a performance measure weighted with downside risks. All the metrics proposed are tested thoroghly with downside risks. All the metrics proposed are tested thoroughly with conparative statistics and inference tests. Testing of grouping is carried out under different stress conditions, as those showed under the recent financial crisis. We find that in our dataset there is no clear evidence of hedge funds over-performing traditional funds, either in the bull or in the bear market, irrespective of different management styles
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