Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257613 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 1 [Article No.:] 15 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-31
Publisher: 
MDPI, Basel
Abstract: 
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after the financial crisis (June 2007-January 2017). To the best of our knowledge, such a study covering the last ten years has not been published. Performance of the various strategies was analysed, using correlations, the Carhart's four factor model, persistence of performance, and reward-risk ratios. The findings are that some hedge fund strategies which have persistent performances are also able to outperform the benchmark in some periods. In the crisis period, value-wise, all strategies did better than the S&P500, thereby, conserving value for investors, better than passive investment in the S&P500. Over the entire period of the research (June 2007-January 2017), seven strategies performed better than the S&P500: Global Macro, Multi Strategy, Emerging Markets, Long/Short Equity, Event Driven, Convertible Arbitrage, and Fixed Income Arbitrage. As hedge funds typically have skewed return distributions, performance was analysed in different periods, within conventional and downside risk frameworks. This research contributes to the advancement of knowledge on the outcomes of hedge fund strategies in different market conditions and the reliability of alternative risk frameworks in their evaluation. Apart from the theoretical implications, this research provides practical knowledge to managers and investors on which strategies hold better value and in what circumstances.
Subjects: 
hedge funds
reward risk ratios
performance persistence
JEL: 
G10
G19
G23
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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