Downside risk and hedge fund returns

IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Christos Argyropoulos , Ekaterini Panopoulou , Spyridon Vrontos
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引用次数: 0

Abstract

This study compares the predictive power of downside risk for hedge funds and fund of hedge funds returns. We find a positive relationship between downside risk and return for hedge funds but not for funds of hedge funds. This result is robust to the downside risk measure employed and additional control variables. Furthermore, we find that funds of hedge funds perform significantly worse than hedge funds during adverse equity market regimes, exhibiting an inverse (negative) risk–return relationship. Finally, we form realistic portfolios to determine whether an investor can construct a portfolio that outperforms the average fund of hedge funds. These portfolios display superior risk-adjusted performance and rank among the top performers of funds of hedge funds in our sample.
下行风险和对冲基金回报
本研究比较了下行风险对对冲基金和对冲基金的基金收益的预测能力。我们发现对冲基金的下行风险与收益呈正相关,而对冲基金的基金则不呈正相关。该结果对所采用的下行风险度量和附加控制变量具有鲁棒性。此外,我们发现对冲基金的基金在不利的股票市场制度下表现明显差于对冲基金,表现出逆(负)风险回报关系。最后,我们形成现实的投资组合,以确定投资者是否可以构建优于对冲基金平均基金的投资组合。这些投资组合显示出卓越的风险调整后的表现,并在我们样本中对冲基金的基金中名列前茅。
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来源期刊
CiteScore
6.40
自引率
5.40%
发文量
262
期刊介绍: The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.
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