Article (Scientific journals)
Hedge fund performance and persistence in bull and bear markets
Capocci, Daniel; Corhay, Albert; Hübner, Georges
2005In European Journal of Finance, 11 (5), p. 361-392
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Keywords :
Hedge funds; Funds of funds; Selection bias; Abnormal returns; Bullish market; Bearish market; Persistence
Abstract :
[en] This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high attrition rate of funds observed in the down market. An original ten-factor composite performance model is applied that achieves very high significance levels. The analysis of performance indicates that most hedge funds significantly outperformed the market during the whole test period, mostly thanks to the bullish subperiod. In contrast, no significant underperformance of individual hedge funds strategies is observed when markets headed south. The analysis of persistence yields very similar results, with most of the predictability being found among middle performers during the bullish period. However, the "Market Neutral" strategy represents a remarkable exception, as abnormal performance is sustained throughout and significant persistence can be found between the 20% and 69% best performers in this category, probably thanks to an extreme adaptability and a very active investment behaviour.(Abstract EconLit copié le 29/06/06)
Disciplines :
Finance
Author, co-author :
Capocci, Daniel
Corhay, Albert  ;  Université de Liège - ULiège > Comptabilité et finance
Hübner, Georges  ;  Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion financière
Language :
English
Title :
Hedge fund performance and persistence in bull and bear markets
Publication date :
October 2005
Journal title :
European Journal of Finance
ISSN :
1351-847X
eISSN :
1466-4364
Publisher :
Routledge (part of Taylor & Francis)
Volume :
11
Issue :
5
Pages :
361-392
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 22 December 2009

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