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- W2100079473 abstract "In this paper, we examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Based on the comparison of the empirical distributions of the holding period returns of hedge funds, a U.S. stock index and a U.S. bond index, we classify hedge funds into four categories according to their return profile: absolute, symmetric, snail, and sinking. We then apply Bayesian multinomial probit and frequentist multinomial logit regressions to examine how fund strategies, fund characteristics, and past return profile influence the probability that a fund can achieve the absolute return profile. We find that hedge funds with strategies in Option Arbitrage, Fixed Income-MBS, Global Macro, Emerging Markets, and Event Driven have a significantly better chance to produce absolute returns. The use of high water mark provision and hurdle rate provision also enhance the probability for a fund to generate absolute returns. Whether a fund calls itself an “absolute return” fund is another significant and robust contributing factor for absolute returns generation. Finally, we find no evidence for performance persistence in absolute return profile once fund strategies and fund characteristics have been accounted for." @default.
- W2100079473 created "2016-06-24" @default.
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- W2100079473 date "2010-01-01" @default.
- W2100079473 modified "2023-09-26" @default.
- W2100079473 title "The Absolute Returns of Hedge Funds" @default.
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- W2100079473 doi "https://doi.org/10.2139/ssrn.1684116" @default.
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