IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • 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)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: price

Article provided by Groupe Revue Banque in its journal Bankers, Markets & Investors.

Volume (Year): (2014)
Issue (Month): 129 (March-April)
Pages: 40-58

in new window

Handle: RePEc:rbq:journl:i:129:p:40-58
Contact details of provider: Web page:

Order Information: Postal: 18 rue La Fayette, 75009 Paris
Web: Email:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (P-E Gery)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.