Service interruption on Monday 11 July from 12:30 to 13:00: all the sites of the CCSD (HAL, Epiciences, SciencesConf, AureHAL) will be inaccessible (network hardware connection).
Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

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 metadata

Cited literature [33 references]  Display  Hide  Download
Contributor : Rania Hentati Kaffel Connect in order to contact the contributor
Submitted on : Monday, April 28, 2014 - 6:13:50 PM
Last modification on : Friday, April 29, 2022 - 10:12:41 AM
Long-term archiving on: : Monday, July 28, 2014 - 12:13:41 PM


Files produced by the author(s)


  • HAL Id : hal-00984777, version 1



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



Record views


Files downloads