Short-term hedge fund performance

Slavutskaya, Anna

doi:10.1016/j.jbankfin.2013.07.034

Cited by 10 publications

(6 citation statements)

References 34 publications

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“…Live funds are larger, have a longer history, and perform better than dead funds. The average fund remains in our data for nearly 6 years, longer than the 4 years or 5 years reported by Slavutskaya () but in line with Boyson ().…”

Section: Data and Performance Measuressupporting

confidence: 91%

“…In contrast, past top deliverers of alphas continue to deliver positive alphas only during bullish market conditions. More recently, Brandon and Wang () find that the superior performance of equity‐type hedge funds largely disappears once liquidity is accounted for and Slavutskaya () finds that only alpha‐sorted bottom‐performing funds persist in producing lower returns in the out‐of‐sample period. Finally, Hentati‐Kaffel and de Peretti () find that nearly 80% of all hedge fund returns are random, with evidence of performance persistence concentrated in hedge funds that follow event‐driven and relative value strategies.…”

Section: Literature Reviewmentioning

confidence: 99%

“…() and Boyson (), find that hedge funds persistently deliver positive alphas out of sample. Other research is more critical, claiming that performance persistence depends upon the measure used (Capocci et al ., ), that performance persistence is attributable to passive investments in illiquid assets (Brandon and Wang, ), and even that performance persistence for top funds does not exist at all (Slavutskaya, ). Recently, Dichev and Yu () document a sharp reduction in buy and hold returns for a very large sample of hedge funds and commodity trading advisors, from 18.7% from 1980 to 1994 to 9.5% from 1995 to 2008.…”

Section: Introductionmentioning

confidence: 99%

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Persistent Doubt: An Examination of Hedge Fund Performance

Gonzalez

Papageorgiou

Skinner

2015

Eur Financial Management

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We examine whether performance persistence is suspicious. Top quintile portfolios formed on the Sharpe ratio, alpha, and information ratio persistently outperform similarly constructed mediocre third quintile portfolios throughout our sample period, but performance is more modest and less persistent when portfolios are formed on the excess manipulation-proof performance measure (EMPPM). By selecting funds formed on ranking by Sharpe and information ratios, investors also select funds that have persistently doubtful performance according to the doubt ratio. In contrast, portfolios formed on alphas and especially the EMPPM have much less excess and persistent doubt.Keywords: hedge funds, performance measures, manipulation-proof performance measure, doubt ratioWe thank the Editor (John Doukas) and an anonymous referee for excellent comments and suggestions. We are also grateful to

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Section: Data and Performance Measuressupporting

confidence: 91%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Persistent Doubt: An Examination of Hedge Fund Performance

Gonzalez

Papageorgiou

Skinner

2015

Eur Financial Management

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“…Eling (2009) finds that performance persistence appears to be related to the methodology used to detect it. Slavutskaya (2013) finds that only alpha sorted bottom performing funds persist in producing lower returns in the out of sample period. Meanwhile, Hentati-Kaffel and De Peretti (2015) find that nearly 80% of all hedge fund returns are random where evidence of performance persistence is concentrated in hedge funds that 2 We need to repeat our analysis on unsmoothed data using somewhat different procedures because Linton et al 2005 follow event driven and relative value strategies.…”

Section: Literature Reviewmentioning

confidence: 93%

Hedge Fund Strategies: A non-Parametric Analysis

2019

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We investigate why top performing hedge funds are successful. We find evidence that top performing hedge funds follow a different strategy than mediocre performing hedge funds as they accept risk factors that do and avoid factors than do not anticipate the troubling economic conditions prevailing after 2006. Holding alpha performance constant, top performing funds avoid relying on passive investment in illiquid investments but earn risk premiums by accepting market risk. Additionally, they seem able to exploit fleeting opportunities leading to momentum profits while closing losing strategies thereby avoiding momentum reversal.

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“…Despite the application to hedge fund performance, the linear models are more suitable to evaluate traditional funds because they fail to capture hedge fund characteristics like time variation (Stafylas et al 2017). Furthermore, Slavutskaya (2013) concluded that linear factor models are not suitable for hedge funds as they lead to over-parameterisation, because many hedge funds have a life of three years.…”

Section: Performance Measurement Modelsmentioning

confidence: 99%

Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017

METZGER

Shenai

2019

IJFS

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The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after the financial crisis (June 2007–January 2017). To the best of our knowledge, such a study covering the last ten years has not been published. Performance of the various strategies was analysed, using correlations, the Carhart’s four factor model, persistence of performance, and reward-risk ratios. The findings are that some hedge fund strategies which have persistent performances are also able to outperform the benchmark in some periods. In the crisis period, value-wise, all strategies did better than the S&P500, thereby, conserving value for investors, better than passive investment in the S&P500. Over the entire period of the research (June 2007–January 2017), seven strategies performed better than the S&P500: Global Macro, Multi Strategy, Emerging Markets, Long/Short Equity, Event Driven, Convertible Arbitrage, and Fixed Income Arbitrage. As hedge funds typically have skewed return distributions, performance was analysed in different periods, within conventional and downside risk frameworks. This research contributes to the advancement of knowledge on the outcomes of hedge fund strategies in different market conditions and the reliability of alternative risk frameworks in their evaluation. Apart from the theoretical implications, this research provides practical knowledge to managers and investors on which strategies hold better value and in what circumstances.

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Short-term hedge fund performance

Cited by 10 publications

References 34 publications

Persistent Doubt: An Examination of Hedge Fund Performance

Persistent Doubt: An Examination of Hedge Fund Performance

Hedge Fund Strategies: A non-Parametric Analysis

Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017

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