Abstract

http://ssrn.com/abstract=1259430
 
 

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Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?


Roland Füss


University of St. Gallen

Dieter G. Kaiser


Robus Capital Management Limited; Frankfurt School of Finance & Management

Anthony Strittmatter


Albert-Ludwigs University of Freiburg; University of St. Gallen

September 11, 2009

Journal of Alternative Investments, Vol. 12, No. 2, pp. 41-53, 2009

Abstract:     
This paper is the first to use quantile regression to analyze the impact of experience and size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression, quantile regression provides a more detailed picture of the influence of size and experience on FHF return behaviour. Hence, it allows us to study the relevance of these factors for various return and risk levels instead of average return and risk, as is the case with OLS regression. Because FHF size and age (as a proxy for experience) are available in a panel setting, we can perform estimations in an unbalanced stacked panel framework. This study analyzes time series and descriptive variables of 649 FHFs drawn from the Lipper TASS Hedge Fund database for the time period January 1996 to August 2007. Our empirical results suggest that experience and size have a negative effect on performance, with a positive curvature at the higher quantiles. At the lower quantiles, however, size has a positive effect with a negative curvature. Both factors show no significant effect at the median.

Keywords: Quantile regression, funds of hedge funds, performance, asset under management, fund age, fund manager's experience

JEL Classification: G11, G12, G23

Accepted Paper Series





Not Available For Download

Date posted: August 29, 2008 ; Last revised: May 29, 2013

Suggested Citation

Füss, Roland and Kaiser, Dieter G. and Strittmatter, Anthony, Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter? (September 11, 2009). Journal of Alternative Investments, Vol. 12, No. 2, pp. 41-53, 2009. Available at SSRN: http://ssrn.com/abstract=1259430

Contact Information

Roland Füss (Contact Author)
University of St. Gallen ( email )
Rosenbergstrasse 52
St. Gallen, CH-9000
Switzerland
+41 (0)71 224 70 74 (Phone)
+41 (0)71 224 70 88 (Fax)
HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx
Dieter G. Kaiser
Robus Capital Management Limited ( email )
25 Macklin Street
London, WC2B 5NN
United Kingdom
+496172-6816752 (Phone)
HOME PAGE: http://www.frankfurt-school.de/content/en/cpqf/team/Kaiser.html
Frankfurt School of Finance & Management ( email )
Sonnemannstra?e 9-11
Frankfurt am Main, 60314
Germany
Anthony Strittmatter
Albert-Ludwigs University of Freiburg ( email )
Department of Applied Econometrics
Platz der Alten Synagoge
Freiburg, D-79085
Germany
+49 761 203 2339 (Phone)
+49 761 203 2340 (Fax)
HOME PAGE: http://www.empiwifo.uni-freiburg.de/personen-staff/anthony-strittmatter
University of St. Gallen ( email )
Varnbuelstr. 14
St. Gallen, CH-9000
Switzerland

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