Hedge Fund Strategies: A non-Parametric Analysis

48 Pages Posted: 27 Dec 2019

See all articles by Alessandra Canepa

Alessandra Canepa

University of Turin

Maria Gonzalez

University of Castilla-La Mancha

Frank S. Skinner

Brunel University

Date Written: August 2019

Abstract

We investigate why top performing hedge funds are successful. We find evidence that top performing hedge funds follow a different strategy than mediocre performing hedge funds as they accept fewer risk factors that mostly anticipate the troubling economic conditions prevailing after 2006. Holding alpha performance constant, top performing funds mostly avoid relying on passive investment in illiquid investments but earn risk premiums by accepting market risk. Additionally, they seem able to exploit fleeting opportunities leading to momentum profits while closing losing strategies thereby avoiding momentum reversal.

Keywords: hedge funds, manipulation proof performance measure, hedge fund strategies, stochastic dominance, bootstrap

JEL Classification: G11, G12, G2

Suggested Citation

Canepa, Alessandra and Gonzalez, Maria and Skinner, Frank S., Hedge Fund Strategies: A non-Parametric Analysis (August 2019). Available at SSRN: https://ssrn.com/abstract=3499492 or http://dx.doi.org/10.2139/ssrn.3499492

Alessandra Canepa

University of Turin ( email )

Lungo Dora Siena, 100 A,
University of Turin
Torino, TO 10153
Italy

Maria Gonzalez

University of Castilla-La Mancha ( email )

Plaza Universidad, 1
02071 Albacete, Ciudad Real 13071
Spain

Frank S. Skinner (Contact Author)

Brunel University ( email )

Kingston Lane
Uxbridge, Middlesex UB8 3PH
United Kingdom

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