Download or read book Performance Persistence and the Source of Returns for Hedge Funds written by Ardian Harri and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests whether performance persistence exists in the hedge fund industry in the sense that some funds have consistently higher returns than others. Several procedures are used to determine if performance persists. The results show that performance persists in hedge funds with some funds showing the greatest persistence across all the procedures. The results also indicate a strong negative relation between hedge fund capitalization and returns. The results are consistent with the hypothesis that hedge fund managers exploit market inefficiencies.
Download or read book Hedge Funds written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-08-04 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.
Download or read book Performance in the Hedge Funds Industry written by Pierre-Antoine Bares and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study focuses on a sensible issue in the hedge fund industry, namely the performance persistence of hedge fund managers.We first analyse the existence of relative performance persistence among individual hedge funds on a cumulative return basis. It is shown that the Specialist Credit and Relative Value investment strategies contain the highest proportion of managers who are continuously outperforming their peers. Furthermore, we observe no evidence that return volatility causes persistence.Using hedge funds average returns for ranking purposes, we then examine the persistence of hedge funds portfolios. Persistence is detected over short-term holding periods (one to three months), but it rapidly vanishes as the formation or holding period lengthens. A half reversal emerges when the holding period reaches 36 months. However, a complete reversal of the portfolios' average returns is never observed. Finally, we use an APT framework to adjust for risk and use the managers' abnormal return as a performance criteria to examine hedge funds' long-term performance persistence. We find a slight overreaction pattern that is more pronounced among traditionally directional strategies.
Download or read book Return Smoothing and its Implications for Performance Analysis of Hedge Funds written by Jing-Zhi Huang and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Return smoothing and performance persistence are both sources of autocorrelation in hedge fund returns. The practice of pre-processing the data in order to remove smoothing before conducting performance analysis also affects the predictability of hedge fund returns. This paper develops a Bayesian framework for the performance evaluation of hedge funds that simultaneously accounts for smoothing, time-varying performance and factor loadings, and the short-lived nature of reported returns. Simulation evidence reveals that ldquo;unsmoothingrdquo; predictable, persistent hedge fund returns reduces the ability to detect performance persistence in the second step of the analysis. Empirically, smoothing generates severe biases in standard estimates of abnormal performance, factor loadings, and idiosyncratic volatility. In particular, for funds with high systematic risk, a standard deviation increase in smoothing implies an upward bias in alpha; in excess of 2% annually and a downward bias in equity market beta of more than 20%. For funds with low systematic risk exposure, the smoothing bias is most apparent in estimates of idiosyncratic volatility.
Download or read book Hedge Fund Persistence Performance written by Bernad Kevin and published by LAP Lambert Academic Publishing. This book was released on 2014-02 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence.
Download or read book Performance Persistence of Event Driven Hedge Funds written by Constantin Claussen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Event-Driven strategy is one of the most popular and fastest growing investment approaches within the hedge fund industry. Hedge fund investors often base their investment decisions on past returns because they expect this to be a good indicator of future performance. However, this is a controversial topic in the academic literature. For this reason, the aim of this study is to provide empirical evidence on Event-Driven hedge fund performance persistence. Therefore, this paper investigates the raw returns and two risk-adjusted performance measures in the period from 2008 to June 2015 for their level of performance persistence by applying both non-parametric and parametric two-period tests. The findings of this study suggest that there is persistence of up to 12 months in the performance of Event-Driven hedge funds. However, the results further indicate that investors should be cautious when making their investment decisions based on performance persistence. Levels of persistence fluctuate highly depending on the underlying performance measure or methodology, as well as time horizon and because the profitable exploitation of short-term persistence is strongly limited due to liquidity restrictions of hedge funds.
Download or read book Top Hedge Fund Investors written by Cathleen M. Rittereiser and published by John Wiley & Sons. This book was released on 2017-10-09 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: A professional's guide to the world of hedge fund investing Throughout the financial crisis of 2008, many hedge funds suffered massive losses and were often blamed for the extreme market upheavals. In the wake f the crisis, hedge funds remain a source of fascination for the media, legislators, and investors, mostly due to misunderstanding. Historically portrayed as risky investment funds for the very wealthy run by swashbuckling traders, the truth is hedge funds are simply an investment vehicle designed to generate superior returns and reduce an investor's overall portfolio risk. Investors have good reasons to remain fascinated with hedge funds. Although many individual funds have underperformed or collapsed, hedge funds as a whole have provided solid returns while reducing risks. Savvy institutions have invested in hedge funds for many years and have made them a large and powerful force in the markets. Investing in hedge funds requires sophisticated knowledge, understanding, skill, access, and experience. Individuals and institutions, whether they are new to hedge funds or need to improve, can find those attributes in the stories of the successful hedge fund investors profiled in Hedge Fund Investors. Hedge Fund Investors chronicles the challenges and rewards these investors face, in selecting hedge fund managers, managing risks, and constructing portfolios. In revealing conversations, leading hedge fund investors who place hundreds of billions of dollars in hedge funds, share their philosophies, strategies, and advice. Profiles a variety of different investors from the pioneers in hedge fund investing to managers for high net-worth individuals and fund of funds investors Discusses winners and losers in the recent market decline, problematic hedge fund strategies, and how these current events will change future strategies Provides lessons, insights, and advice beneficial to all hedge fund investors Engaging and informative, Hedge Fund Investors will prove valuable to anyone involved in placing money with hedge funds, as well as hedge funds who seek to better understand their clients.
Download or read book Your Essential Guide to Quantitative Hedge Fund Investing written by Marat Molyboga and published by CRC Press. This book was released on 2023-07-18 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your Essential Guide to Quantitative Hedge Fund Investing provides a conceptual framework for understanding effective hedge fund investment strategies. The book offers a mathematically rigorous exploration of different topics, framed in an easy to digest set of examples and analogies, including stories from some legendary hedge fund investors. Readers will be guided from the historical to the cutting edge, while building a framework of understanding that encompasses it all. Features Filled with novel examples and analogies from within and beyond the world of finance Suitable for practitioners and graduate-level students with a passion for understanding the complexities that lie behind the raw mechanics of quantitative hedge fund investment A unique insight from an author with experience of both the practical and academic spheres.
Download or read book Performance Persistence of Hedge Funds written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate, for each hedge fund strategy, the likelihood of performance persistence in different market regimes. The analysis is conducted on funds in the Hedge Fund Research (HFR) database within short-horizons (up to one year) during the period from January 1994 to December 2012. We found the likelihood of persistence generally tends to increase in bearish market. For instance, at 12-month horizon the likelihood of persistence for GM and OTH funds is higher in bearish times than in bullish times. Although this is true from the statistical point of view, the simulated portfolio returns do not show a strong pattern of persistence in bearish market, thus decreases the value of use in reality. RV and MN funds, however, have the same level of persistence likelihood across market regimes, and the simulated returns show a strong sign of persistence among winner-winners and loser-losers in both market regimes. Hence, managers' skills are predictable and an active fund-selection process based on past performance could be undertaken for RV and MN funds.
Download or read book Persistence in Hedge Fund Performance written by Harry M. Kat and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the persistence and predictability of several statistical parameters of individual hedge fund returns. We find little evidence of persistence in mean returns but do find strong persistence in hedge funds' standard deviations and their correlation with the stock market. Persistence in skewness and kurtosis is low but this could be due to the small size of the sample used. Despite the observed persistence, our study also shows that in absolute terms hedge funds' risk profiles are not easily predicted from historical returns alone. The true value of a hedge fund's track record therefore appears not to lie in its use as a predictor of future performance and risk, but primarily in the insight that it provides in a fund's risk profile relative to that of other funds in the same strategy group. The availability of a track record is important, but for a different reason than many investors think.
Download or read book Long Short Equity Hedge Funds written by Stephan Glatz and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Survival Look Ahead Bias and Persistence in Hedge Fund Performance written by Guillermo Baquero and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Download or read book Survival Look Ahead Bias and the Persistence in Hedge Fund Performance written by Guillermo Baquero and published by . This book was released on 2009 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we analyze the persistence in the performance of hedge funds taking into account look-ahead bias (multi-period sampling bias). To do so, we model liquidation of hedge funds and analyze how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four quarter horizon, look-ahead bias can be as large as 3.8%, depending upon the decile of the distribution. At the quarterly level, we find positive persistence in hedge fund returns, also after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.
Download or read book Hedge Fund Performance Persistence written by Nicole M. Boyson and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics, such as size and age. Previous research has found that funds face capacity constraints, that investment flows chase past performance, and that as funds age, they become more passively managed, which reduces the likelihood of performance persistence as funds grow older and larger. Consistent with this model, this study found that performance persistence is strongest among small, young funds. A portfolio of these funds with prior good performance outperformed a portfolio of large, mature funds with prior poor performance by 9.6 percent per year.
Download or read book Multi Period Performance Persistence Analysis of Hedge Funds written by Vikas Agarwal and published by . This book was released on 2000 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since hedge funds specify significant lockup periods, we investigate persistence in the performance of hedge funds using a multi-period framework in which the likelihood of observing persistence by chance is lower than that in the traditional two-period framework. Under the null hypothesis of no manager skill (no persistence), the theoretical distribution of observing wins or losses follows a binomial distribution. We test this hypothesis using the traditional two-period framework and compare the findings with the results obtained using our multi-period framework. We examine whether persistence is sensitive to the length of return measurement intervals by using quarterly, half-yearly and yearly returns. We find maximum persistence at quarterly horizon indicating that persistence among hedge fund managers is short-term in nature. It decreases as one moves to yearly returns and this finding is not sensitive to whether returns are calculated on a pre- or post-fee basis suggesting that the intra-year persistence finding is not driven by the way performance fees are imputed. The level of persistence in the multi-period framework is considerably smaller than that in the two-period framework with virtually no evidence of persistence using yearly returns under the multi-period framework. Finally persistence, whenever present, seems to be unrelated to whether the fund took directional bets or not.
Download or read book Information Spillovers and Performance Persistence for Hedge Funds written by Vincent Glode and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a simple model that rationalizes performance persistence in hedge fund limited partnerships. In contrast to the model for mutual funds of Berk and Green (2004), the learning in our model pertains to profitability associated with an innovative trading strategy or an emerging sector, rather than ability specific to the fund manager. As a result of potential information spillovers, which would increase competition in the sector if informed investors were to partner with nonincumbent managers, incumbent managers will let informed investors benefit from increases in estimated profitability following high returns realized with the trading strategy or in the sector.
Download or read book Performance Evaluation of Hedge Funds written by Greg N. Gregoriou and published by Beard Books. This book was released on 2003 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains incisive articles dealing with quantitative and qualitative analyses of hedge funds.
