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

EDHEC career support at distance: continuous follow-up and a highly active network
News
- 05-06-2020
After fully digitalising its services, the EDHEC Student Career Centre has been...
How I got my dream internships
News
- 02-06-2020
I originally wanted to be a footballer. I daydreamed about training with the top...
« EDHEC, the best experience of my life so far »
News
- 29-05-2020
WHAT IS YOUR EDUCATIONAL BACKGROUND PRIOR TO EDHEC? Prior to EDHEC, I pursued a...
Meet Valentin Grinner, Pre-Master student
News
- 28-05-2020
Valentin Grinner “I’ve started a MOOC to learn web development” Valentin, 20, is...