Performance Persistence in Hedge Funds: Australian Evidence

32 Pages Posted: 11 Mar 2010

See all articles by Viet Minh Do

Viet Minh Do

Monash University - Department of Accounting; Financial Research Network (FIRN)

Robert W. Faff

University of Queensland

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area

Date Written: March 9, 2010

Abstract

Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term winning persistence. Tests of multiperiod performance reveal weak evidence of losing persistence. We also do not find any evidence of persistence in both stock picking and market timing. We report evidence of mean reversion for both stock picking and market timing at the medium horizon.

Keywords: Persistence, hedge funds, stock selection, market timing

JEL Classification: G12, G20, G23

Suggested Citation

Do, Viet Minh and Faff, Robert W. and Veeraraghavan, Madhu, Performance Persistence in Hedge Funds: Australian Evidence (March 9, 2010). Available at SSRN: https://ssrn.com/abstract=1567756 or http://dx.doi.org/10.2139/ssrn.1567756

Viet Minh Do

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Madhu Veeraraghavan (Contact Author)

T.A. PAI Management Institute, Finance Area ( email )

Bangalore
Manipal, Karnataka 576104
India
+91-820-2701030 (Phone)

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