Multi-Period Performance Persistence Analysis of Hedge Funds

By Vikas Agarwal, Narayan Naik. Journal of Financial and Quantitative Analysis, 2000

570 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9a47f4038fa41e5827af05302b59ab63b9f1aa09

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Citations in the corpus

The Life Cycle of Hedge Funds: Fund Flows, Size and Performance ⁄ (2005, unknown): “Performance attribution and style analysis in hedge funds have been studied in the following papers: Agarwal and Naik (2000b, 2000c), Brown and Goetzmann (2003), Brown, Goetzmann and Ibbotson (1999), Brown, Goetzmann, and Park (2000, 2001a, 2001b), Fung 5 and Hsieh (1997), and Lochoff (2002).”
The Geography of Hedge Funds (2009, methodology): “In response to concerns that fund returns may resemble the payoffs from writing options on the equity market (Agarwal and Naik, 2004), we also include in the augmented model factors derived from call and put options on the Japan Nikkei 225 index. The augmented factor model explains up to 75 percent ”
Hedge Funds and the Technology Bubble (2004, unknown): “Second, some hedge funds may also apply dynamic trading strategies, which generate nonlinear exposure to asset class factors, implying that a linear model is misspecified (Fung and Hsieh (1997), Agarwal and Naik (2000)).”
Conditional Return Smoothing in the Hedge Fund Industry (2008, background): “Agarwal and Naik (2000) find that winners tend to repeat only at the quarterly frequency, however, and Brown et al. (1999) find no evidence of performance persistence at the annual frequency, suggesting that the relation between incentives and returns is short-lived.”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, unknown): “…in addition to reporting raw returns and alphas, it is also common to report the appraisal ratios (the ratio of alphas to the standard error of the factor model regressions) because hedge funds' extensive use of leverage can sometimes obscure alpha measures (see Agarwal and Naik (2000)).”
Risks and Portfolio Decisions Involving Hedge Funds (2004, background): “20 Previous researchers including Brown, Goetzmann, and Ibbotson (1999) and Agarwal and Naik (2000), examining persistence in hedge fund managers' performance, have used a peer group average as a benchmark to adjust for systematic risk.”
Hedge fund performance and persistence in bull and bear markets (2005, unknown): “In order to take into account the complex characteristics of the hedge fund industry, we implement a combination and an extension of Carhart's (1997) four-factor model, the model used by Agarwal and Naik (2004) and the one used by Capocci and Hiibner (2004). This model contains the market risk premi”
Macroeconomic Risk and Hedge Fund Returns (2014, background): “ 27 References Ackermann, C., McEnally, R., Ravenscraft, D., 1999.”
Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation (2006, unknown): “On the contrary, Agarwal and Naik (2000a) and Agarwal and Naik (2000b) when using both offshore and onshore hedge funds found significant quarterly persistence that is hedge funds with relatively high returns in the current quarter tend to earn relatively high returns in the next quarter. They used ”