Predicting hedge fund performance when fund returns are skewed

dc.check.date2020-11-19
dc.check.infoAccess to this article is restricted until 12 months after publication by request of the publisher.en
dc.contributor.authorHeuson, Andrea J.
dc.contributor.authorHutchinson, Mark C.
dc.contributor.authorKumar, Alok
dc.contributor.funderScience Foundation Irelanden
dc.date.accessioned2019-11-28T11:38:27Z
dc.date.available2019-11-28T11:38:27Z
dc.date.issued2019-11-19
dc.date.updated2019-11-26T11:32:42Z
dc.description.abstractWe 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%.en
dc.description.sponsorshipScience Foundation Ireland (Grant Number 18/SPP/3459)en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationHeuson, A. J., Hutchinson, M. C. and Kumar, A. (2019) 'Predicting hedge fund performance when fund returns are skewed', Financial Management. doi: 10.1111/fima.12304en
dc.identifier.doi10.1111/fima.12304en
dc.identifier.eissn1755-053X
dc.identifier.issn0046-3892
dc.identifier.journaltitleFinancial Managementen
dc.identifier.urihttps://hdl.handle.net/10468/9273
dc.language.isoenen
dc.publisherJohn Wiley & Sons, Inc.en
dc.relation.urihttps://onlinelibrary.wiley.com/doi/abs/10.1111/fima.12304
dc.rights© 2019, John Wiley & Sons Inc. This is the peer reviewed version of the following article: Heuson, A. J., Hutchinson, M. C. and Kumar, A. (2019) 'Predicting hedge fund performance when fund returns are skewed', Financial Management, doi: 10.1111/fima.12304, which has been published in final form at https://doi.org/10.1111/fima.12304. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.en
dc.subjectPerformance measurementen
dc.subjectHedge fundsen
dc.subjectPerformance persistenceen
dc.subjectInvestment skillen
dc.subjectG10en
dc.subjectG19en
dc.subjectG20en
dc.subjectFund-specific skewnessen
dc.titlePredicting hedge fund performance when fund returns are skeweden
dc.typeArticle (peer-reviewed)en
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