Moving to Greener Pastures: Does Hedge Fund Manager Skill Persist Across Asset Classes?

14 Pages Posted: 13 Apr 2023 Last revised: 10 Aug 2023

See all articles by Mark C. Hutchinson

Mark C. Hutchinson

University College Cork

Quang Minh Nhi Nguyen

The University of Danang - University of Economics - the University of Danang; University College Cork

Philip O'Reilly

University College Cork - Cork University Business School

Date Written: August 9, 2023

Abstract

Recent theoretical and empirical literature provides evidence of performance persistence in hedge funds. This study investigates whether persistence varies when a specialist FX manager launches a new fund in a different asset class. Previous research has found that when managers switch fund style or launch a subsequent fund, their skill in generating abnormal returns persists in the new styles and funds. Consistent with these findings, our results show that better performing FX hedge fund managers continue to outperform their peers, when they launch new asset class funds, but persistence declines over time.

JEL Classification: F31, G14, G19

Suggested Citation

Hutchinson, Mark C. and Nguyen, Quang Minh Nhi and O'Reilli, Philip, Moving to Greener Pastures: Does Hedge Fund Manager Skill Persist Across Asset Classes? (August 9, 2023). Available at SSRN: https://ssrn.com/abstract=4405951 or http://dx.doi.org/10.2139/ssrn.4405951

Mark C. Hutchinson

University College Cork ( email )

O'Rahilly Building
College Road
Cork
Ireland

Quang Minh Nhi Nguyen (Contact Author)

The University of Danang - University of Economics - the University of Danang ( email )

71 Ngu Hanh Son Street
Danang
Vietnam

University College Cork ( email )

5 Bloomfield Terrace Western Road
Cork
Ireland

Philip O'Reilli

University College Cork - Cork University Business School ( email )

West Wing, Main Quadrangle, College Road
Cork
Ireland

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