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Paper Stats:
Abstract Views: 6586
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An Analysis of Hedge Fund Performance 1984-2000
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DANIEL P.J. CAPOCCI
HEC - Université de Liège; KBL European Private Bankers; Luxembourg School of Finance; Edhec Risk and Management Research Center
November 2001
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Abstract:
Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama and French (1998), Agarwal and Naik (2000) models and a new factor that take into account the fact that some hedge funds invest in emerging market bond. We find out that our combined model is able to explain a significant proportion of the variation in hedge fund returns over time. This latter particularly suits for Event-Driven, Global Macro, US Opportunistics, Equity non-Hedge and Sector funds. We analyse the performance of hedge funds and the persistence in performance for different subperiods including the Asian Crisis period. Then, after having studied dissolution frequencies, we made the same calculations for several individual hedge fund strategies. We showed there is a proof of persistence in performance in some cases but that persistence is not always constant over time.
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Keywords: hedge fund, hedge funds, Performance, Persistence, Carhart, Fama and French, Asian Crisis, Emerging Markets, CAPM, Dissolution frequenties, Survivorship Bias, Correlation, History Bias, Total Returns
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JEL Classifications: G1, G11, G12
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Working Paper Series
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Suggested Citation
Capocci, Daniel P.J., "An Analysis of Hedge Fund Performance 1984-2000"
(November 2001).
Available at SSRN: http://ssrn.com/abstract=291848
or DOI: 10.2139/ssrn.291848
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Contact Information for
DANIEL
P.J.
CAPOCCI
(Contact Author)
Email address for DANIEL
P.J.
CAPOCCI
HEC - Université de Liège
Bld du Rectorat 7 Bat. B31
Liege
4000
Belgium
+32/87784221 (Phone)
+32/87787140 (Fax)
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Email address for DANIEL
P.J.
CAPOCCI
KBL European Private Bankers
2, Boulevard E. Servais
Luxembourg
2960
Luxembourg
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Email address for DANIEL
P.J.
CAPOCCI
Luxembourg School of Finance
Luxembourg
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Email address for DANIEL
P.J.
CAPOCCI
Edhec Risk and Management Research Center
France
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