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L’asset allocation dei fondi hedge durante la crisi finanziaria: un’analisi empirica
[The asset allocation of hedge funds during the financial crisis: an empirical investigation]

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  • Piluso, Fabio
  • Amerise, Ilaria Lucrezia
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    Abstract

    The hedge funds industry was partly blamed for the global financial crisis that started in 2007, especially in Europe. If one analyses the performance of hedge funds during this period, it becomes clear that the hedge fund industry did not necessarily fare well. Some funds gained, but many others incurred heavy losses. To address the issue performance of hedge funds during the financial crisis period (2007-2008) we undertook a study to settle the question of hedge fund performance using cluster analysis. Selecting the London hedge market (as it controls 77% of the European hedge funds) we have attempted to map out the various strategies used by the different managers as well as study the patterns of risk-return during periods of financial panic which increases the volatility of the markets. We believe that the strong instability of the markets should encourage the funds to invest in good shelter and exploit the high volatility of the quoted titles (long/short strategy). Our analysis clearly shows that the cluster analysis has helped us to identify hedge fund manager’s allocation strategies that are the best persistent performers during the financial crisis period in the London hedge fund market. And the overall best performer appears to be CTA/managed futures, long/short equities, and macro.

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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 28178.

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    Date of creation: 10 Jan 2011
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    Handle: RePEc:pra:mprapa:28178

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    Keywords: hedge fund; investment strategy; cluster analysis; financial crisis;

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    1. Agarwal, Vikas & Naik, Narayan Y., 2000. "Multi-Period Performance Persistence Analysis of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 327-342, September.
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