English, Article edition: The persistence in hedge fund performance: extended analysis Daniel P. J. Capocci

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Bookmark: http://trove.nla.gov.au/version/139159
Physical Description
  • article
Language
  • English

Edition details

Title
  • The persistence in hedge fund performance: extended analysis
Author
  • Daniel P. J. Capocci
Physical Description
  • article
Notes
  • This study analyses and decomposes hedge fund returns to detect a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform classical equities and bond indices over a full market cycle and over bullish and bearish market periods. The methodology used is adapted from Capocci and Hübner. The measures used include the returns, the volatility, the Sharpe score, the alpha, the beta, the skewness and the kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha and consistently and significantly outperform classical indices. A sub-period analysis is performed to check the robustness of the results. Copyright © 2008 John Wiley &​ Sons, Ltd.
  • RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:233-255
Language
  • English
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