Hedge Fund Returns Characterized by Correlation Regimes (Presentation Slides)

22 Pages Posted: 19 Sep 2019

See all articles by Peter Schwendner

Peter Schwendner

Zurich University of Applied Sciences, Center for Asset Management

Date Written: January 14, 2019

Abstract

We compute monthly correlation matrices of 25 global futures markets in four asset classes: fixed income, commodities, equities, fx. Comparing and grouping those correlation matrices leads to distinct «regimes» in time. We can characterize these regimes by futures market returns, finding patterns between risk-on and risk-off assets. One of those regimes is especially «risk-off». We can also characterize these regimes by CS hedge fund index returns. In the «risk-off» regime, they also underperform. The Eurekahedge EHF funds show a similar performance behaviour according to strategies across regimes as the CS hedge fund indices. The dispersion across the Eurekahedge EHF funds for each month is largest in the «risk-off» regime.

Keywords: Hedge Funds, Correlation Regimes, Portfolio Management

JEL Classification: G11, G23, D53, E44

Suggested Citation

Schwendner, Peter, Hedge Fund Returns Characterized by Correlation Regimes (Presentation Slides) (January 14, 2019). Available at SSRN: https://ssrn.com/abstract=3451211 or http://dx.doi.org/10.2139/ssrn.3451211

Peter Schwendner (Contact Author)

Zurich University of Applied Sciences, Center for Asset Management ( email )

School of Management and Law
Technoparkstrasse 2
Winterthur, CH 8401
Switzerland

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