{"product_id":"hedge-fund-persistence-performance-von-bernad-kevin-und-ozhan-emeline","title":"Hedge Fund Persistence Performance","description":"\u003cp\u003eRecent literature has found some evidence of performance persistence  in hedge funds. This study investigated whether this persistence varies  with fund characteristics over the time period from January 2000 to  December 2012. We confront hedge funds by a classification based on  their strategy issued from a merged sample from the HFR Hedge funds  Indexes databases. We use the benchmarked hedge fund indexes returns  against the S\u0026amp;P500 to obtain relative returns. Our sample is composed  of monthly data, representing 154 observations. Our aim is to analyze  the serial correlation of these corrected dataset by running different  tests. After a graphical and an autocorrelation analysis, we run a Runs  test and compute the Hurst exponent. These methods are both  particularly relevant in the analysis of financial series. Finally, by  comparing the results of these different approaches, we identify which  strategy generates most persistence.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783659524103\"\u003e\u003ch3\u003ePerformance persistence of hedge  Funds: An analysis of management strategies  alternative\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783659524103","offer_id":39482415546461,"sku":"9783659524103","price":28.9,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/8025d739-7f60-4154-8b21-3828a9175903.jpg?v=1776492780","url":"https:\/\/shop.autorenwelt.de\/en\/products\/hedge-fund-persistence-performance-von-bernad-kevin-und-ozhan-emeline","provider":"Autorenwelt Shop","version":"1.0","type":"link"}