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

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  • 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.

Suggested Citation

  • Stafylas, Dimitrios & Andrikopoulos, Athanasios & Tolikas, Konstantinos, 2023. "Hedge fund performance persistence under different business cycles and stock market regimes," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017
    DOI: 10.1016/j.najef.2022.101866
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    More about this item

    Keywords

    Hedge funds; Performance persistence; Business cycles; Stock market regimes;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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