An Analysis of Hedge Fund Performance 1984-2000

Daniel Capocci, Georges Hübner

Author(s):

Daniel Capocci

University of Liège

Georges Hubner

Department of Management, University of LiègeAssociate Professor, EDHEC Business School

Using one of the largest hedge fund databases ever used (2,796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of Carhart’s (1997) specification combined with the Fama and French (1998) and Agarwal and Naik (2000) models and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets. This addition is particularly suitable for Event Driven, Global Macro, US Opportunistics, Equity non-Hedge and Sector funds. The performance of hedge funds for several individual strategies and different subperiods, including the Asian Crisis period, indicates evidence of persistence in performance in some cases but it is not stable over time.

Type: Working paper
Date: le 01/01/2003
Research Cluster : Finance

See Also

THE FIGHT AGAINST SEXUAL AND GENDER-BASED VIOLENCE, A CORE COMPONENT OF THE START TO THE ACADEMIC YEAR FOR PRE-MASTER STUDENTS
News
- 20-09-2022
As part of the programme organised at the start of the academic year for EDHEC Business...
The EDHEC Global MBA ranked 14th in Europe in the Bloomberg Best B-School 2022-23 list
News
- 19-09-2022
The EDHEC Global MBA has been featured once again in the prestigious Bloomberg...
The new EDHEC PhD in Finance cohort ready to embrace challenges of doctoral studies
News
- 16-09-2022
A new cohort of 12 PhD executive  track participants and 2 residential track...
Green finance sector initiative for decarbonization: new paper out by Irene Monasterolo with The World Bank
News
- 15-09-2022
  Does greening the financial sector have real world impact? Green financial sector...