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Hedge Fund Persistence Performance: Performance persistence of hedge Funds: An analysis of management strategies alternative - Couverture souple
Synopsis
Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence.
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Présentation de l'éditeur
Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence.
Biographie de l'auteur
Kevin BERNAD, graduated in FinancialEconometrics & Applied Statistics (Paris-1Panthéon-Sorbonne), oriented in banking andinsurance. Analyst at BPCE, Paris. Emeline OZHAN,graduated in Financial Markets from Paris IXDauphine and Econometrics from Paris I Panthéon-Sorbonne. Quantitative analyst at Sycamore AssetManagement, Paris.
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Hedge Fund Persistence Performance
Edité par
LAP LAMBERT Academic Publishing, 2014
ISBN 10 : 3659524107
ISBN 13 : 9783659524103
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
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Etat : New. N° de réf. du vendeur 5162343
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Hedge Fund Persistence Performance : Performance persistence of hedge Funds: An analysis of management strategies alternative
Edité par
LAP LAMBERT Academic Publishing, 2014
ISBN 10 : 3659524107
ISBN 13 : 9783659524103
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence. N° de réf. du vendeur 9783659524103
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Hedge Fund Persistence Performance
Edité par
LAP LAMBERT Academic Publishing Feb 2014, 2014
ISBN 10 : 3659524107
ISBN 13 : 9783659524103
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence. 56 pp. Englisch. N° de réf. du vendeur 9783659524103
Quantité disponible : 2 disponible(s)
Image fournie par le vendeur
Hedge Fund Persistence Performance
Edité par
LAP LAMBERT Academic Publishing Feb 2014, 2014
ISBN 10 : 3659524107
ISBN 13 : 9783659524103
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Neuware -Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this persistence varies with fund characteristics over the time period from January 2000 to December 2012. We confront hedge funds by a classification based on their strategy issued from a merged sample from the HFR Hedge funds Indexes databases. We use the benchmarked hedge fund indexes returns against the S&P500 to obtain relative returns. Our sample is composed of monthly data, representing 154 observations. Our aim is to analyze the serial correlation of these corrected dataset by running different tests. After a graphical and an autocorrelation analysis, we run a Runs test and compute the Hurst exponent. These methods are both particularly relevant in the analysis of financial series. Finally, by comparing the results of these different approaches, we identify which strategy generates most persistence.Books on Demand GmbH, Überseering 33, 22297 Hamburg 56 pp. Englisch. N° de réf. du vendeur 9783659524103
Quantité disponible : 2 disponible(s)