Abstract

http://ssrn.com/abstract=291848
 
 

Citations (28)



 
 

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An Analysis of Hedge Fund Performance 1984-2000


Daniel P.J. Capocci


HEC - Université de Liège; Luxembourg School of Finance; Edhec Risk and Management Research Center

November 2001


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.

Number of Pages in PDF File: 44

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

JEL Classification: G1, G11, G12

working papers series





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Date posted: November 28, 2001 ; Last revised: December 31, 2007

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 http://dx.doi.org/10.2139/ssrn.291848

Contact Information

Daniel P.J. Capocci, PhD - CAIA (Contact Author)
HEC - Université de Liège ( email )
Bld du Rectorat 7 Bat. B31
Liege, 4000
Belgium
+32/87784221 (Phone)
+32/87787140 (Fax)
Luxembourg School of Finance ( email )
4 Rue Albert Borschette
Luxembourg, L-1246
Luxembourg
Edhec Risk and Management Research Center ( email )
58, rue du Port
59046 Lille Cedex
France
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