Transcription of Hedge Fund Performance Persistence over …
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Hedge Fund Performance Persistence over …
Hedge fund Performance Persistence over Different Market Conditions Zheng Sun Ashley W. Wang University of California at Irvine Federal Reserve Board Lu Zheng University of California at Irvine This draft: April 2014 We provide novel evidence that Hedge fund Performance is persistent following periods of relative Hedge fund market weakness, but not following periods of relative market strength. Specifically, we construct two Performance measures, DownsideReturns and UpsideReturns, conditioning on whether the overall Hedge fund market return is below or above its sample median. After adjusting for risk and fund characteristics, funds in the highest DownsideReturns quintile outperform funds in the lowest quintile by 5% in the subsequent year, whereas funds with better UpsideReturns do not outperform subsequently.
1 1. Introduction Hedge funds attract institutional investors and high net worth individuals, by offering a prospect of achieving profits in both rising and falling markets.
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