Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

Preprint English OPEN
Rania Hentati Kaffel; Philippe De Peretti;
  • Publisher: HAL CCSD
  • Subject: 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... View more
  • References (31)
    31 references, page 1 of 4

    [1] Ackermann, C., McEnally, R., Ravenscraft, D., 1999. The Performance of hedge funds: Risk, return, and incentives. Journal of Finance 54, 833-874.

    [2] Agarwal, V., Naik., N.Y., 2000a. Generalized style analysis of hedge funds. Journal of Asset Management 1, 93-109.

    [3] Agarwal, V., Naik., N.Y., 2000b. Multi-period performance persistence analysis of hedge funds. Journal of Financial and Quantitative Analysis 35, 327-342.

    [4] Amenc, N., El Bied, S., Martellini, L., 2003. Predictability in hedge fund returns. Financial Analysts Journal 59, 32-46.

    [5] Baquero, G., Horst, J., Verbeek., M., 2004. Survival, look-ahead bias and the persistence in hedge funds performance. Journal of Financial and Quantitative Analysis 40, 493-517.

    [6] Barès, P.-A., Gibson, R., Gyger., S., 2003. Performance in the hedge funds industry: An analysis of short and long-term persistence. Journal of Alternative Investments 6, 25–41.

    [7] Boyson, N. M., Cooper., M. J., 2004. Do hedge funds exhibit performance persistence? A new approach, Working Paper.

    [8] Brooks, C., Kat., H., 2002. The statistical properties of hedge fund returns and their implications for investors. Journal of Alternative Investments 5, 26-44.

    [10] Brown, S., Goetzmann, W., Ibbotson., R., 1999. O¤shore hedge funds: Survival and performance: 1989-95. The Journal of Business 72, 91-117.

    [11] Caglayan, M., Edwards., F., 2001. Hedge fund performance and manager skill. Journal of Futures Markets 21, 1003-102.

  • Metrics
Share - Bookmark