RT Journal Article SR Electronic T1 An Examination of Hedge Fund Return Distributions JF Special Issues FD Institutional Investor Journals SP 14 OP 27 VO 2002 IS 1 A1 Mark J.P. Anson YR 2002 UL https://pm-research.com/content/2002/1/14.abstract AB This article examines the return distributions associated with hedge funds. It classifies hedge fund investment strategies into two groups: those with exposure to credit risk, and those with exposure to market risk. Hedge fund strategies with exposure to credit risk demonstrate large downside tails in the distributions of their returns, consistent with distributions of high-yield bonds. Hedge funds that take market risk have a return distribution consistent with that of large-capitalization stocks. Hedge funds with limited or no market and credit risk (market-neutral) have returns that approximate a normal distribution.