Predicting hedge fund performance when fund returns are skewed

Autor:	Mark C. Hutchinson, Alok Kumar, Andrea J. Heuson
Rok vydání:	2020
Předmět:	Economics and Econometrics Measure (data warehouse) G19 business.industry Investment skill Investment (macroeconomics) Hedge fund Performance persistence Hedge funds Skewness Fund-specific skewness Accounting Performance measurement Econometrics Economics G20 G10 business health care economics and organizations Finance
Zdroj:	Financial Management. 49:877-896
ISSN:	1755-053X 0046-3892
Popis:	We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we demonstrate that traditional performance measures under-estimate (over-estimate) managerial performance when returns exhibit positive (negative) fund-specific skewness. Our new measure is particularly valuable during periods of economic crisis, when the annual risk-adjusted out-performance is 5.5%.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::06a2846c47b613310100a8f230209a8c https://doi.org/10.1111/fima.12304 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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