An Analysis of Hedge Fund PerformanceAbstract: Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and a new factor that take into account the fact that some hedge funds invest in emerging market bond. We find out that our combined model is able to explain a significant proportion of the variation in hedge fund returns over time. This latter particularly suits for Event-Driven, Global Macro, US Opportunistics, Equity non- Hedge and Sector funds. We analyse the performance of ehdge funds and the persistence in performance for different subperiods including the Asian Crisis period. Then, after having studied dissolutionfrequencies, we made the same calculations for several individual hedge fund strategies. We showed there is a proof of persistence in performance in some cases but that persistence is not always constant over time. Keywords: Hedge Funds; Performance; Persistence; Carhart; Fama and Ffrench; CAPM; Dissolution frequencies; Survivorship Bias; Correlation; History Bias; Total Returns (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0210001 Access Statistics for this paper More papers in Finance from EconWPA |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
Swedish Business School at Örebro University.