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The performance persistence of equity long/short hedge funds (2008).
| Content Provider | CiteSeerX |
|---|---|
| Author | Markus M. Schmid, A. Samuel Manser, B. |
| Abstract | This paper examines persistence of raw and risk-adjusted returns for long/short equity hedge funds using the portfolio approach of Hendricks, Patel and Zeckhauser (1993). Only limited evidence of persistence is found for raw returns. Funds with the highest raw returns last year continue to outperform over the subsequent year, although not significantly while there is no persistence in returns beyond one year. In contrast, we find performance persistence based on risk-adjusted return measures such as the Sharpe Ratio and in particular an alpha from a multifactor model. Funds with the highest risk-adjusted performance continue to significantly outperform in the following year. The persistence does not last longer than one year except for the worst performers. Funds with significant risk-adjusted returns show less exposure to the market, have high raw returns and low volatility. These results are robust to adjustments for stale prices and subperiod analysis. |
| File Format | |
| Publisher Date | 2008-01-01 |
| Access Restriction | Open |
| Subject Keyword | Performance Persistence Equity Long Short Hedge Fund Following Year Long Short Equity Hedge Fund Multifactor Model Subsequent Year Risk-adjusted Return Measure High Raw Return Low Volatility Stale Price Significant Risk-adjusted Return Raw Return Raw Return Last Year Portfolio Approach Limited Evidence Risk-adjusted Return Sharpe Ratio Risk-adjusted Performance Continue Subperiod Analysis |
| Content Type | Text |
| Resource Type | Article |
