Performance Persistence in Hedge Funds: Australian Evidence

Minh, Viet; Faff, Robert W.; Veeraraghavan, Madhu

doi:10.2139/ssrn.1567756

Cited by 5 publications

(9 citation statements)

References 22 publications

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“…They also test the market timing ability of Australian hedge fund managers using Australian-based Fama-French factors and find no evidence of it. Do et al (2010) investigate performance persistence in Australian hedge funds. Teo (2009) considers Asian-focused hedge and finds pervasive evidence of a local information advantage, particularly for funds that invest in illiquid and emerging market securities.…”

Section: Literature Reviewmentioning

confidence: 99%

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The Canadian Hedge Fund Industry: Performance and Market Timing

Klein

Purdy²,

Schweigert³

et al. 2015

Int Rev Finance

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We analyze the risk and return characteristics of Canadian hedge funds based on a comprehensive database we compiled. We find that Canadian hedge funds have higher risk-adjusted performance and different distributional characteristics relative to the global hedge fund indices. We investigate market timing by Canadian hedge funds and find that they do not time the Canadian or global stock and bond markets, but hedge funds in the Managed Futures strategy group time the commodity market. These results are robust to parameter instability and structural changes in the model. We also illustrate the impact of using local and global risk factors to analyze the performance of local investment firms. JEL Classification: G11, G12, G23There is a large body of academic literature analyzing the risk and return characteristics of the hedge fund industry. One of the main topics of this research has been identifying factors that can explain hedge fund performance and provide insights into hedge fund investment strategies (Lo 2010). Our paper contributes to the currently small literature on the performance of international hedge funds and reports geographical differentiation in the performance of investment strategies by hedge funds.We find that Canadian hedge funds tend to outperform their global peers (i.e., hedge funds from all over the world) in the corresponding strategy categories. Next, we follow the literature on hedge funds' nonlinear exposure to risk factors and study option-like features of Canadian hedge fund strategies, such as market timing (Fung and Hsieh 1997a). Although measuring hedge funds' timing ability is an important question by itself, hedge fund performance is measured more reliably if it is adjusted for timing strategies as Jensen's alphas

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Section: Literature Reviewmentioning

confidence: 99%

“…Do et al. () investigate performance persistence in Australian hedge funds. Teo () considers Asian‐focused hedge and finds pervasive evidence of a local information advantage, particularly for funds that invest in illiquid and emerging market securities.…”

Section: Literature Reviewmentioning

confidence: 99%

The Canadian Hedge Fund Industry: Performance and Market Timing

Klein

Purdy²,

Schweigert³

et al. 2015

Int Rev Finance

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“…low, medium or high return portfolios). The only studies that we have come across that disrupted the aforementioned pattern, focused on the Asian and Australian (Koh, Koh and Teo, 2003), Italian (Steri, Giorginob and Vivianib, 2009) and solely Australian (Do, Faff & Veeraraghavan, 2010) AIF universes. Therefore, in this chapter, we are going to assess the performance persistence of AIFs in the sphere of geolocation and identify whether the country of domicile and the investment strategy impact on their risk dynamics.…”

Section: Introductionmentioning

confidence: 99%

“…Therefore, in this chapter, we are going to assess the performance persistence of AIFs in the sphere of geolocation and identify whether the country of domicile and the investment strategy impact on their risk dynamics. The additional side objective of this investigation is to contribute to the scarce literature concerning the previously noted non-US AIFs domiciles (Koh et al, 2003;Steri et al, 2009;Do et al, 2010).…”

Section: Introductionmentioning

confidence: 99%

On the Underestimation of Risk in Hedge Fund Performance Persistence: Geolocation and Investment Strategy Effects

Klubinski

Verousis

2021

Financial Risk Management and Modeling

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“…Still, Do et al (2010) reported evidence of persistence only for short-run winner status and of no persistence in market timing for Australian hedge funds from 2000 to 2005. Cavé et al (2011) studied performance during the crisis and found that a selected sample of fund managers were able to deliver a superior performance by predicting the markets movements, although some presented mixed or even negative market timing.…”

Section: Introductionmentioning

confidence: 97%

Desempenho e Persistência de Hedge Funds Brasileiros Durante a Crise Financeira

Joaquim

Moura

2011

Braz. Rev. Fin.

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This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world’s worst financial crisis since the great depression of the 1930s. Despite the financial turmoil, the results indicate the existence of a representative group of funds with abnormal returns and evidence of a joint persistence of funds with time frames of one to three months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.

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Performance Persistence in Hedge Funds: Australian Evidence

Cited by 5 publications

References 22 publications

The Canadian Hedge Fund Industry: Performance and Market Timing

The Canadian Hedge Fund Industry: Performance and Market Timing

On the Underestimation of Risk in Hedge Fund Performance Persistence: Geolocation and Investment Strategy Effects

Desempenho e Persistência de Hedge Funds Brasileiros Durante a Crise Financeira

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