IDEAS home Printed from https://ideas.repec.org/a/rbq/journl/i129p40-58.html
   My bibliography  Save this article

A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation

Author

Listed:
  • Monica Billio

    (Ca' Foscari University of Venice)

  • Lorenzon Frattarolo

    (Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne)

  • Lauriana Pelizzon

    (Ca' Foscari University of Venice, Goethe-University Frankfurt Research Affiliate MIT Sloan, Laboratory for Financial Engineering)

Abstract

We evaluate the time varying behavior of the extra performance of single hedge funds using a Markov Switching model. We calculate the hedge fund performance adjusted by the Fung and Hsieh 7 factors and use this measure as the dependent variable of a Markov Switching model. With this methodology we obtain individual time varying alphas that are then aggregated to compute time varying alphas for the whole industry and single hedge funds strategies. Our analysis shows that profitability changes dramatically trough time, across categories and is related to the level of competition of the hedge fund market.

Suggested Citation

  • Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon, 2014. "A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 40-58, March-Apr.
  • Handle: RePEc:rbq:journl:i:129:p:40-58
    as

    Download full text from publisher

    File URL: http://www.revue-banque.fr/article/time-varying-performance-evaluation-hedge-fund-str
    Download Restriction: price
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.

    More about this item

    Keywords

    Extra performances; Hedge funds; Markov switching models; Financial crises;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbq:journl:i:129:p:40-58. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marise Urbano (email available below). General contact details of provider: http://www.eska.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.