Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Series Vol. 5 , 23 April 2023
* Author to whom correspondence should be addressed.
After the 2008 financial crisis, hedge funds regained their popularity. Investors naturally wonder whether it is possible to predict and explain hedge fund returns just as its constituents. To answer this question, we examined hedge fund performance of 14 strategies from 2000 to 2017 by separating them into 3 groups. After deriving a statistical model, we applied it to the period of 2017-2022 and examined the errors. We observed that most strategies have a positive risk-adjusted rate of return and the current period’s returns have a positive relationship with the previous period’s. We concluded that monthly return has too much randomness while 3 strategies’ yearly returns in the middle quantile could be predicted. More historical return data can improve the accuracy of the model.
financial market, predict, hedge funds
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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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