Hedge Fund Performance: End of an Era?
Access rights
openAccess
acceptedVersion
URL
Journal Title
Journal ISSN
Volume Title
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
This publication is imported from Aalto University research portal.
View publication in the Research portal (opens in new window)
View/Open full text file from the Research portal (opens in new window)
Other link related to publication (opens in new window)
View publication in the Research portal (opens in new window)
View/Open full text file from the Research portal (opens in new window)
Other link related to publication (opens in new window)
Date
2021
Department
Major/Subject
Mcode
Degree programme
Language
en
Pages
24
Series
Financial Analysts Journal, Volume 77, issue 3, pp. 109-132
Abstract
This article documents a decline in aggregate hedge fund performance over the past decade. We tested whether a set of prediction models can select subsets of individual funds that buck the trend and subsequently outperform. Two of the predictors reliably picked funds that lowered the volatility and raised the Sharpe ratio of a multi-asset-class portfolio relative to a stock/bond portfolio over the full 1997-2016 sample. Hedge fund allocations reduced volatility in two subperiods but failed to improve the Sharpe ratio from 2008 onward. We explore potential explanations for the erosion of hedge fund performance.Description
Keywords
MUTUAL FUNDS, RISK, DYNAMICS, MARKET, BIASES, TIME
Other note
Citation
Bollen, N P B, Joenvaara, J & Kauppila, M 2021, ' Hedge Fund Performance : End of an Era? ', Financial Analysts Journal, vol. 77, no. 3, pp. 109-132 . https://doi.org/10.1080/0015198X.2021.1921564