Hedge fund strategies: A non-parametric analysis
Alessandra Canepa (),
María de la O. González and
Frank S. Skinner
International Review of Financial Analysis, 2020, vol. 67, issue C
We investigate why top performing hedge funds are successful. We find evidence that top performing hedge funds follow a different strategy than mediocre performing hedge funds as they accept risk factors that do and avoid factors than do not anticipate the troubling economic conditions prevailing after 2006. Holding alpha performance constant, top performing funds avoid relying on passive investment in illiquid investments but earn risk premiums by accepting market risk. Additionally, they seem able to exploit fleeting opportunities leading to momentum profits while closing losing strategies thereby avoiding momentum reversal.
Keywords: Hedge funds; Manipulation proof performance measure; Hedge fund strategies; Stochastic dominance; Bootstrap (search for similar items in EconPapers)
JEL-codes: G11 G12 G2 (search for similar items in EconPapers)
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Working Paper: Hedge Fund Strategies: A non-Parametric Analysis (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802
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