Hedge fund strategies: A non-parametric analysis

被引：6
|
作者：
Canepa, Alessandra [1 ]
Gonzalez, Maria de la O. [2 ]
Skinner, Frank S. [3 ]
机构：
[1] Univ Turin, Dept Econ & Econ Cognetti Marttis, Lungo Dora Siena 100A, Turin, Italy
[2] Univ Castilla La Mancha, Dept Econ Anal & Finance, Plaza Univ 1, Albacete 02071, Spain
[3] Brunel Univ, Dept Econ & Finance, London UB8 3PH, England
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2020年 / 67卷
关键词：
Hedge funds; Manipulation proof performance measure; Hedge fund strategies; Stochastic dominance; Bootstrap; STOCHASTIC-DOMINANCE; PERFORMANCE PERSISTENCE; RISK; MARKET; TIME; LIQUIDITY; MOMENTUM; MODEL; BOOTSTRAP; MANAGERS;
D O I：
10.1016/j.irfa.2019.101436
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页数：15
相关论文
共 50 条
  • [1] Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    Billio, Monica
    Getmansky, Mila
    Pelizzon, Loriana
    [J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2009, 12 (01): : 21 - 38
  • [2] Beyond mean–variance: assessing hedge fund performance in a non-parametric world
    Afrae Hassouni
    Hugues Pirotte
    [J]. Financial Markets and Portfolio Management, 2022, 36 : 473 - 488
  • [3] Beyond mean-variance: assessing hedge fund performance in a non-parametric world
    Hassouni, Afrae
    Pirotte, Hugues
    [J]. FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT, 2022, 36 (04) : 473 - 488
  • [4] The Hedge Fund and the Strategies
    [J]. 金融博览, 2006, (08) : 31 - 31
  • [5] Quantile regression analysis of hedge fund strategies
    Meligkotsidou, Loukia
    Vrontos, Ioannis D.
    Vrontos, Spyridon D.
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2009, 16 (02) : 264 - 279
  • [6] On the Dynamics of Hedge Fund Strategies
    Cai, Li
    Liang, Bing
    [J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2012, 14 (04): : 51 - 68
  • [7] Mutual fund performance and persistence in Taiwan: A non-parametric approach
    Hsu, Chi-Sheng
    Lin, Jwu-Rong
    [J]. SERVICE INDUSTRIES JOURNAL, 2007, 27 (05): : 509 - 523
  • [8] Parametric and non-parametric unsupervised cluster analysis
    Roberts, SJ
    [J]. PATTERN RECOGNITION, 1997, 30 (02) : 261 - 272
  • [9] The Return in Hedge-Fund Strategies
    Al-Sharkas, Adel A.
    [J]. INTERNATIONAL JOURNAL OF BUSINESS, 2005, 10 (03): : 217 - 231
  • [10] To be parametric or non-parametric, that is the question Parametric and non-parametric statistical tests
    Van Buren, Eric
    Herring, Amy H.
    [J]. BJOG-AN INTERNATIONAL JOURNAL OF OBSTETRICS AND GYNAECOLOGY, 2020, 127 (05) : 549 - 550
12345