Quantile regression analysis of hedge fund strategies

Meligkotsidou, Loukia; Vrontos, Ioannis D.; Vrontos, Spyridon D.

doi:10.1016/j.jempfin.2008.10.002

Cited by 67 publications

(29 citation statements)

References 75 publications

(81 reference statements)

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“…We find evidence for short-term persistence (mostly driven by losers) and only limited evidence for long-term persistence. These findings as to fund characteristics, persistence and survival are in line with the general hedge fund literature (such as Capocci and Hübner, 2004;Coën and Hübner, 2009;Meligkotsidou et al, 2009;Liang and Park, 2010). 1 Our analysis thus complements existing literature with a strategy-specific look at the nature of distressed securities hedge funds, which has not yet been provided in literature.…”

Section: Introductionsupporting

confidence: 81%

“…These findings underline the argument that strategyspecific models are required to explain the systematic risks of individual hedge fund strategies. 2 We thus complement both the existing literature that conducts very general and broad analyses of all hedge fund strategies (such as Capocci and Hübner, 2004;Coën and Hübner, 2009;Meligkotsidou et al, 2009) and the literature that conducts a detailed analysis of selected hedge fund strategies (Mitchell and Pulvino, 2001 Fung and Hsieh, 2000;Liang, 2000). 5 Several studies are confined to the analysis of one market phase.…”

Section: Notesmentioning

confidence: 99%

“…While distressed securities hedge funds are analyzed in general studies of the hedge fund industry (for example, Capocci and Hübner, 2004;Coën and Hübner, 2009;Meligkotsidou et al, 2009), we follow Hsieh (2004, 2011) and Agarwal et al (2011) and argue that strategy-specific models are required to explain the systematic risks of individual hedge fund strategies. In this work, we use a recently introduced factor model for distressed securities hedge funds (see Bontschev and Eling, 2010).…”

Section: Introductionmentioning

confidence: 99%

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Factors that affect the performance of distressed securities hedge funds

Bontschev¹,

Eling

2013

J Deriv Hedge Funds

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We present a four factor model to replicate distressed securities hedge fund returns. The model considers the returns of short put options, a short straddle on bonds, the spread between high yield and Treasury bonds, and stocks with small market capitalization. On the basis of this model, we conduct a multivariate analysis of how fund characteristics affect risk-adjusted performance. A high-water mark and performance-based compensation are positively related to risk-adjusted performance, which is in line with much of the hedge fund literature. In contrast to other work, however, we find that lock-up is negatively related to performance and that fund age is unrelated to performance. Our work provides a better understanding of the nature and critical factors for the success of distressed securities hedge funds.

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Section: Introductionsupporting

confidence: 81%

Section: Notesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Factors that affect the performance of distressed securities hedge funds

Bontschev¹,

Eling

2013

J Deriv Hedge Funds

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“… Applications in the field of finance include Bassett and Chen (), Engle and Manganelli (), Meligkotsidou et al () and Chuang et al ().…”

mentioning

confidence: 99%

A Quantile Regression Approach to Equity Premium Prediction

Meligkotsidou

Panopoulou

Vrontos

et al. 2014

Journal of Forecasting

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We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated from a set of quantile forecasts, using both …xed and time-varying weighting schemes, thus exploiting the entire distributional information associated with each predictor. Further gains are achieved by incorporating the forecast combination methodology in our quantile regression setting. Our approach using a time-varying weighting scheme delivers statistically and economically signi…cant out-of-sample forecasts relative to both the historical average benchmark and the combined predictive mean regression modeling approach.JEL classi…cation: G11; G12; C22; C53

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“…The present study is also related to Li and Kazemi (2007), who estimated conditional density functions for hedge fund indices, and Meligkotsidou et al (2009), who analyzed hedge fund investment styles using quantile regression methods. Our work is also connected with Billio et al (2009), who studied hedge fund returns using nonparametric methods, and Giannikis and Vrontos (2011), who dealt with the non-linear relationship between hedge fund returns and risk factors using Bayesian model selection techniques and threshold models.…”

Section: Introductionmentioning

confidence: 99%

Forecasting the performance of hedge fund styles

Olmo

Sanso‐Navarro

2012

Journal of Banking & Finance

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This article predicts the relative performance of hedge fund investment styles one period ahead using time-varying conditional stochastic dominance tests. These tests allow the construction of dynamic trading strategies based on nonparametric density forecasts of hedge fund returns. During the recent …nancial turmoil, our tests predict a superior performance of the Global Macro investment style compared to the other 'Directional Traders'strategies. The Dedicated Short Bias investment style is, on the other hand, stochastically dominated by the other directional styles. These results are con…rmed by simple nonparametric tests constructed from the realized excess returns. Further, by exploiting the cross-validation method for optimal bandwidth parameter selection, we …nd out which factors have predictive power for the density of hedge fund returns. We observe that di¤erent factors have forecasting power for di¤erent regions of the returns distribution and, more importantly, Fung and Hsieh factors have power not only for describing the risk premium but also for density forecasting if appropriately exploited.

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Quantile regression analysis of hedge fund strategies

Cited by 67 publications

References 75 publications

Factors that affect the performance of distressed securities hedge funds

Factors that affect the performance of distressed securities hedge funds

A Quantile Regression Approach to Equity Premium Prediction

Forecasting the performance of hedge fund styles

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