Hedge fund performance persistence under different business cycles and stock market regimes

Stafylas, Dimitrios; Andrikopoulos, Athanasios; Tolikas, Konstantinos

Abstract

We examine different aspects of performance persistence of US hedge funds over different business cycles and stock market regimes. During periods of economic growth and bull stock markets, we report performance persistence for up to one year in the risk-adjusted returns of fund portfolios of different investment strategies, which is mainly driven by top fund performers. Performance persistence weakens dramatically during recession periods and bear stock markets. Our results are robust to different combinations of states of economic growth and stock market regimes. Trading strategies constructed on the basis of our results confirm the economic significance of our findings.

Citation

Stafylas, D., Andrikopoulos, A., & Tolikas, K. (2023). Hedge fund performance persistence under different business cycles and stock market regimes. North American journal of economics and finance, 64, Article 101866. https://doi.org/10.1016/j.najef.2022.101866

• Journal Article Type: Article
• Acceptance Date: Dec 6, 2022
• Online Publication Date: Dec 9, 2022
• Publication Date: 2023-01
• Deposit Date: Jan 6, 2023
• Publicly Available Date: Dec 10, 2023
• Journal: North American Journal of Economics and Finance
• Print ISSN: 1062-9408
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 64
• Article Number: 101866
• DOI: https://doi.org/10.1016/j.najef.2022.101866
• Keywords: Hedge funds; Performance persistence; Business cycles; Stock market regimes
• Public URL: https://hull-repository.worktribe.com/output/4165169