Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis
Hentati Kaffel , Rania
De Peretti , Philippe
- Publisher: HAL CCSD
Hedge Funds,Randomness,Runs Tests,Persistence,clustering | JEL : G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G23 - Non-bank Financial Institutions • Financial Instruments • Institutional Investors | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Hedge Funds | Persistence | Randomness | clustering | JEL : C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General | Runs Tests | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading
In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to Decem...