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Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods

Stafylas, Dimitrios; Andrikopoulos, Athanasios


Dimitrios Stafylas


We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a switching Markov model to endogenously determine different market conditions. We find that HFs deliver positive alpha only during “good” times, irrespective of their fundamentals. During “bad” times, they minimise their systematic risk. Small and young funds, and those with redemption restrictions deliver higher alpha compared to their peers during “good” times. Finally, specific strategies deliver significantly negative alpha during “bad” times.


Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, Article 101130.

Journal Article Type Article
Acceptance Date Nov 16, 2019
Online Publication Date Nov 17, 2019
Publication Date 2020-04
Deposit Date Nov 21, 2019
Publicly Available Date May 18, 2021
Journal Research in International Business and Finance
Print ISSN 0275-5319
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 52
Article Number 101130
Keywords Hedge funds; Hedge funds characteristics; Hedge fund performance
Public URL
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