Is Blash Possible in Hedge Funds? An Aproach to Seasonality

30 Pages Posted: 27 Jul 2010

Date Written: July 26, 2010

Abstract

Seasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also? Many market participants have observed that as year goes by, a December Spike occurs frequently, and that has permeated the financial community to accept this effect as a common occurrence.This paper intends to determine whether seasonality exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indexes with another one of the most representative indexes of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of seasonality on every strategy, comparing the two data sources, showing that there are significant higher returns in December, as well as lower and negative returns during the months of August, September and October. These results suggest that BLASH (Buy Low And Sell High) is possible in Hedge Funds management.

Keywords: Hedge funds, average monthly returns, annual returns, management incentive fees, seasonality

JEL Classification: G1, G13

Suggested Citation

Machado-Santos, C. and Ribeiro, Mafalda Mendes, Is Blash Possible in Hedge Funds? An Aproach to Seasonality (July 26, 2010). Available at SSRN: https://ssrn.com/abstract=1648940 or http://dx.doi.org/10.2139/ssrn.1648940

C. Machado-Santos

affiliation not provided to SSRN

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
82
Abstract Views
979
rank
330,769
PlumX Metrics