Stafylas, D, Anderson, K and Uddin, M orcid.org/0000-0003-1035-0365 (2018) Hedge fund performance attribution under various market conditions. International Review of Financial Analysis, 56. pp. 221-237. ISSN 1057-5219
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | Copyright (c) 2018 Elsevier Ltd. All rights reserved. This is an author produced version of a paper published in International Review of Financial Analysis. Uploaded in accordance with the publisher's self-archiving policy |
Keywords: | Hedge funds; Performance; Statistical factors; Multi-factor models; Risk exposures; Alpha and beta returns |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 16 Jan 2018 10:46 |
Last Modified: | 31 Jan 2019 01:38 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.irfa.2018.01.006 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:126236 |