 Hedge fund performance attribution under various market conditionsDimitrios Stafylas, Keith Anderson and Moshfique Uddin International Review of Financial Analysis, 2018, vol. 56, issue C, 221-237 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. Keywords: Hedge funds; Performance; Statistical factors; Multi-factor models; Risk exposures; Alpha and beta returns (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:56:y:2018:i:c:p:221-237 DOI: 10.1016/j.irfa.2018.01.006 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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