Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

Abstract : In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to December 2012. Our findings suggest that i) For about 80% of the funds, we fail to reject the null of randomness of returns, ii) A similar ...gure is found out when focusing on relative returns, iii) Hedge funds that do present clustering in their relative returns are mainly found within Event Driven and Relative Value strategies, iv) For relative returns, results vary with the benchmark nature (hedge or traditional). The paper also emphasizes that runs tests may be a useful tool for investors in their fund' s selection process.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [33 references]  Display  Hide  Download

https://hal-paris1.archives-ouvertes.fr/hal-00984777
Contributor : Rania Hentati Kaffel <>
Submitted on : Monday, April 28, 2014 - 6:13:50 PM
Last modification on : Tuesday, January 30, 2018 - 5:50:03 PM
Long-term archiving on : Monday, July 28, 2014 - 12:13:41 PM

File

Emruns.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00984777, version 1

Collections

Citation

Rania Hentati Kaffel, Philippe de Peretti. Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis. 2014. ⟨hal-00984777⟩

Share

Metrics

Record views

528

Files downloads

659