Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Abstract

We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a switching Markov model to endogenously determine different market conditions. We find that HFs deliver positive alpha only during “good” times, irrespective of their fundamentals. During “bad” times, they minimise their systematic risk. Small and young funds, and those with redemption restrictions deliver higher alpha compared to their peers during “good” times. Finally, specific strategies deliver significantly negative alpha during “bad” times.

Publication DOI: https://doi.org/10.1016/j.ribaf.2019.101130
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > Aston Business School
Additional Information: © 2019, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Hedge fund performance,Hedge funds,Hedge funds characteristics,Business, Management and Accounting (miscellaneous),Finance
Publication ISSN: 0275-5319
Last Modified: 11 Jun 2024 07:14
Date Deposited: 19 Nov 2019 09:59
Full Text Link:
Related URLs: https://linking ... 27553191930563X (Publisher URL)
http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2020-04
Published Online Date: 2019-11-17
Accepted Date: 2019-11-16
Authors: Stafylas, Dimitrios (ORCID Profile 0000-0002-0326-1877)
Andrikopoulos, Athanasios

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