Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions
Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions
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只有在艰难时期才能获胜：对冲基金在不同市场条件下的业绩持久性
DOI：
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发表时间：
2016
影响因子：
3.9
通讯作者：
Lu Zheng
中科院分区：
文献类型：
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作者：
Zheng Sun;Ashley Wang;Lu Zheng
我们提供了新的证据表明，对冲基金的业绩是持续的对冲基金市场疲软，但不持久的强劲市场。具体而言，我们构建了两个绩效指标，RET_DOWN和RET_UP，条件是整体对冲基金行业的回报水平。在调整风险后，RET_DOWN最高的五分之一的基金在随后的一年中的表现比最低的五分之一的基金高出约7%，而RET_UP较好的基金随后的表现并不好。RET_DOWN指标可以预测未来基金的业绩在长达3年的时间内，无论是赢家和输家，以及几乎没有份额限制的基金。
We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets but is not persistent following strong markets. Specifically, we construct two performance measures, RET_DOWN and RET_UP, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest RET_DOWN quintile outperform funds in the lowest quintile by approximately 7% in the subsequent year, whereas funds with better RET_UP do not outperform subsequently. The RET_DOWN measure can predict future fund performance over a horizon as long as 3 years, for both winners and losers and for funds with few share restrictions.