Hedge Fund Performance: End of an Era?

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorBollen, Nicolas P. B.en_US
dc.contributor.authorJoenvaara, Juhaen_US
dc.contributor.authorKauppila, Mikkoen_US
dc.contributor.departmentDepartment of Financeen
dc.contributor.organizationVanderbilt Universityen_US
dc.date.accessioned2021-09-02T08:47:48Z
dc.date.available2021-09-02T08:47:48Z
dc.date.issued2021en_US
dc.description.abstractThis 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.en
dc.description.versionPeer revieweden
dc.format.extent24
dc.format.extent109-132
dc.format.mimetypeapplication/pdfen_US
dc.identifier.citationBollen, 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.2021.1921564en
dc.identifier.doi10.1080/0015198X.2021.1921564en_US
dc.identifier.issn0015-198X
dc.identifier.otherPURE UUID: f5e6f224-b667-4433-a79c-eedc6d1eb8cfen_US
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/f5e6f224-b667-4433-a79c-eedc6d1eb8cfen_US
dc.identifier.otherPURE LINK: http://www.scopus.com/inward/record.url?scp=85107662595&partnerID=8YFLogxKen_US
dc.identifier.otherPURE FILEURL: https://research.aalto.fi/files/66837842/SSRN_id3034283.pdfen_US
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/109627
dc.identifier.urnURN:NBN:fi:aalto-202109028859
dc.language.isoenen
dc.publisherCFA Institute
dc.relation.ispartofseriesFINANCIAL ANALYSTS JOURNALen
dc.relation.ispartofseriesVolume 77, issue 3en
dc.rightsopenAccessen
dc.subject.keywordMUTUAL FUNDSen_US
dc.subject.keywordRISKen_US
dc.subject.keywordDYNAMICSen_US
dc.subject.keywordMARKETen_US
dc.subject.keywordBIASESen_US
dc.subject.keywordTIMEen_US
dc.titleHedge Fund Performance: End of an Era?en
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi
dc.type.versionacceptedVersion
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