EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521919301802
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Hedge Fund Strategies: A non-Parametric Analysis (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802

DOI: 10.1016/j.irfa.2019.101436

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
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-01-04
Handle: RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802