Hedge fund performance persistence under different business cycles and stock market regimes

Dimitrios Stafylas, Athanasios Andrikopoulos and Konstantinos Tolikas

The North American Journal of Economics and Finance, 2023, vol. 64, issue C

Abstract: We examine different aspects of performance persistence of US hedge funds over different business cycles and stock market regimes. During periods of economic growth and bull stock markets, we report performance persistence for up to one year in the risk-adjusted returns of fund portfolios of different investment strategies, which is mainly driven by top fund performers. Performance persistence weakens dramatically during recession periods and bear stock markets. Our results are robust to different combinations of states of economic growth and stock market regimes. Trading strategies constructed on the basis of our results confirm the economic significance of our findings.

Keywords: Hedge funds; Performance persistence; Business cycles; Stock market regimes (search for similar items in EconPapers)
JEL-codes: C58 G11 G20 G23 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017

DOI: 10.1016/j.najef.2022.101866

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