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The persistence in hedge fund performance: extended analysis
Author(s) -
Capocci Daniel P. J.
Publication year - 2009
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.371
Subject(s) - hedge fund , sharpe ratio , economics , kurtosis , econometrics , volatility (finance) , skewness , robustness (evolution) , financial economics , bond , market timing , mathematics , statistics , finance , portfolio , biochemistry , chemistry , gene
This study analyses and decomposes hedge fund returns to detect a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform classical equities and bond indices over a full market cycle and over bullish and bearish market periods. The methodology used is adapted from Capocci and Hübner. The measures used include the returns, the volatility, the Sharpe score, the alpha, the beta, the skewness and the kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha and consistently and significantly outperform classical indices. A sub‐period analysis is performed to check the robustness of the results. Copyright © 2008 John Wiley & Sons, Ltd.