دانلود مقاله ISI انگلیسی شماره 98635
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
98635 2018 17 صفحه PDF سفارش دهید 14544 کلمه
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عنوان انگلیسی
Hedge fund performance attribution under various market conditions
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 56, March 2018, Pages 221-237

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چکیده انگلیسی

We investigate US hedge funds' performance. Our proposed model contains exogenous and endogenous break points, based on business cycles and on a regime switching process conditional on different states of the market. During difficult market conditions most hedge fund strategies do not provide significant alphas. At such times hedge funds reduce both the number of their exposures to different asset classes and their portfolio allocations, while some strategies even reverse their exposures. Directional strategies share more common exposures under all market conditions compared to non-directional strategies. Factors related to commodity asset classes are more common during these difficult conditions whereas factors related to equity asset classes are most common during good market conditions. Falling stock markets are harsher than recessions for hedge funds.

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