Hedge fund performance attribution under various market conditions
نویسندگان
چکیده
منابع مشابه
Hedge Fund Performance Persistence over Different Market Conditions
We provide novel evidence that hedge fund performance is persistent following periods of relative hedge fund market weakness, but not following periods of relative market strength. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioning on whether the overall hedge fund market return is below or above its sample median. After adjusting for risk and f...
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The concept of the gamma of a nanced return as the highest level of stress that a return distribution can withstand is introduced. Stress is measured by positive expectation under a concave distortion of the return distribution accessed. Four distortions introduced in Cherny and Madan (2008) are employed in studying the distribution of returns available in the hedge fund universe. It is shown ...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2018
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2018.01.006