Transcription of Hedge Fund Performance Persistence over Different Market ...
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Hedge Fund Performance Persistence over Different Market ...
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.
2 hedge fund managers chose to herd with the unsophisticated investors during the bubble building period, but differentiated themselves from the rest of the market participants by reducing their
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