The short-run persistence of performance in funds of hedge funds
David Ardia & Kris Boudt
| Résumé |
There is extensive empirical evidence that funds of hedge funds
(FoHFs) quickly change their investment bets as a function of the
changing market conditions. In this chapter, we first analyze the
stability of risk exposure and performance of FoHFs during the
period January 2005–June 2011. We then study the short-run
persistence of performance in the FoHFs industry. Past performance
is measured using the 1-year trailing return as well as
risk-adjusted measures such as the Sharpe ratio and the fund’s
alpha based on the Carhart (1997) or Fung and Hsieh (2004) factor
models. Over the examined timeframe, we consistently find that
using risk-adjusted return measures improves the risk-adjusted
performance of the momentum investment strategy. This finding holds
for the financial crisis period as well as the pre- and post-crisis
periods. |
| Mots-clés |
Alpha, Funds of Hedge funds, Hot hands, Performance, Sharpe ratio |
| Citation | Ardia, D., & Boudt, K. (2013). The short-run persistence of performance in funds of hedge funds. In Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence. (pp. 289-301). New-York: G. N. Gregoriou. |
| Type | Chapitre de livre (Anglais) |
| Année | 2013 |
| Titre du livre | Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence |
| Editeur commercial | G. N. Gregoriou (New-York) |
| Pages | 289-301 |
| URL | http://www.sciencedirect.com/science/article/pii/B9780124... |