Hedge Fund Performance Persistence under different Business Cycles and Stock Market Regimes

Dimitrios Stafylas, Athanasios Andrikopoulos, Konstantinos Tolikas

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Article number101866
Number of pages20
JournalNorth American Journal of Economics and Finance
Volume64
Early online date19 Dec 2022
DOIs
Publication statusPublished - 1 Jan 2023

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