Stafylas, Dimitrios, Anderson, Keith and Uddin, Moshfique (2018). Hedge fund performance attribution under various market conditions. International Review of Financial Analysis, 56 , pp. 221-237.
Abstract
We investigate US hedge funds' performance. Our proposed model contains exogenous and endogenous break points, based on business cycles and on a regime switching process conditional on different states of the market. During difficult market conditions most hedge fund strategies do not provide significant alphas. At such times hedge funds reduce both the number of their exposures to different asset classes and their portfolio allocations, while some strategies even reverse their exposures. Directional strategies share more common exposures under all market conditions compared to non-directional strategies. Factors related to commodity asset classes are more common during these difficult conditions whereas factors related to equity asset classes are most common during good market conditions. Falling stock markets are harsher than recessions for hedge funds.
Publication DOI: | https://doi.org/10.1016/j.irfa.2018.01.006 |
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Divisions: | College of Business and Social Sciences > Aston Business School |
Additional Information: | © 2018, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International |
Uncontrolled Keywords: | Hedge funds,Performance,Statistical factors,Multi-factor models,Risk exposures,Alpha and beta returns |
Publication ISSN: | 1873-8079 |
Last Modified: | 14 Aug 2024 07:01 |
Date Deposited: | 19 Feb 2018 12:15 |
Full Text Link: | |
Related URLs: |
https://www.sco ... 88fa24246449272
(Scopus URL) https://www.sci ... 0383?via%3Dihub (Publisher URL) |
PURE Output Type: | Article |
Published Date: | 2018-03-01 |
Published Online Date: | 2018-01-31 |
Accepted Date: | 2018-01-13 |
Authors: |
Stafylas, Dimitrios
(![]() Anderson, Keith Uddin, Moshfique |
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Version: Accepted Version
License: Creative Commons Attribution Non-commercial No Derivatives
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