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Hedge Fund Returns under Crisis Scenarios: A Holistic Approach
| Content Provider | Scilit |
|---|---|
| Author | Stoforos, Chrysostomos Degiannakis, Stavros Antonios Palaskas, Theodosios |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal The assets of the hedge fund industry are nearly equivalent to the GDP of the UK. The industry, which claims returns independent of markets conditions and has been blamed for economic crises, has attracted the interest of a wide range of financial and political players and academics. This paper, using monthly series performance data since January 1995, at a fund strategy level and S&P500, and a holistic and a developed dynamic correlation quantitative approach, aims to challenge the allegations and the claims, which have been made on rather incomplete research grounds. Statistically, the results strongly reject the claims of the vast majority of fund strategies, excluding the case of the macro and short strategies, over the crisis periods, suggesting that they cannot protect their investors like S&P500. Regarding the allegations, it is inferred that Hedge Funds are used in most cases as a scapegoat rather than actually being the cause of the crises. |
| Related Links | https://mpra.ub.uni-muenchen.de/80161/1/MPRA_paper_80161.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3259857 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3259857 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-10-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Applied Ethics Absolute Returns Carhart's Model Dynamic Conditional Correlation Financial Crisis Hedge Funds Structural Breaks |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
