The Effectiveness of Hedge Fund Investment Strategies under Various Market Conditions

Falkowski, Michał; Sierpińska-Sawicz, Agata; Szczepankowski, Piotr

doi:10.5709/ce.1897-9254.336

Cited by 4 publications

(4 citation statements)

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“…Moreover, these select groups of hedge funds gained profits as a result of bearish markets-and some of these profits had not been realised since the financial crisis (Bloomberg, 2020). Falkowski et al (2020) attributed these profits to credit relative value strategies such as long/short equity and macro strategies. These relative value strategies take advantage of market divergences; this can be done without spread betting-this is beneficial as spread betting is extremely dangerous and is only suitable for strategic, short-term investors who believe they can predict the likely direction of a stock market daily (Fung and Hsieh, 2011).…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa

Muridili

Sgammini

Ferreira-Schenk

et al. 2022

IJEFI

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Investors are constantly searching for methods to generate value above passive investment techniques. Therefore, analysing the performance of hedge funds as compared to mutual funds, particularly in the wake of Covid-19, can aid investors in their investment decision-making process. Those investors who desire above-average returns, particularly in volatile market conditions place an expectation on hedge funds to be able to achieve higher performance during economic downturns, given that they are designed to mitigate risk and to take advantage of harsh financial market conditions. Monthly, secondary data were collected from 30 September 2018 to 31 August 2021 to analyse and compare the risk-adjusted performance of five hedge funds and five mutual funds in South Africa. Both hedge and mutual funds indicated higher risk-adjusted returns from the pre-Covid-19 period compared to during the pandemic. Hedge funds were found to have higher risk-adjusted returns than mutual funds during the Covid-19 period. The novelty of these results indicated that hedge fund managers can achieve higher returns for investors during extreme market events.

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Section: Literature Reviewmentioning

confidence: 99%

The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa

Muridili

Sgammini

Ferreira-Schenk

et al. 2022

IJEFI

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“…In addition, although little work has been done on the concept of COVID-19, a number of scholars have been discussing the performance of different strategies under unusual scenarios such as the 2008 financial crisis. Falkowski, et al investigated the effectiveness of hedge fund strategies with the influence of the global financial crisis [10]. They compared the strategy performances in the period of 2007 and 2009 with a longer holding period from 1994 to 2015 and discovered that total risk will still be diminished under global crisis, indicating the effectiveness of hedge fund strategies.…”

Section: Introductionmentioning

confidence: 99%

Hedge Fund Strategy Performances during Corona Virus Disease2019

Lei¹

2023

Advances in Computer Science Research

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The COVID-19 has brought huge impact on the capital market around the global. Since hedge fund is regarded as a useful risk manage tool, investors became curious of the profitability of this financial strategy. This article presents the performance of two main strategies-merger arbitrage and long short equity trade-utilized in hedge funds from the beginning of 2020 to the end of 2021. Stocks in each strategy are chosen from fields covering consumption, luxury, medicine and real estate. The cases of merger arbitrage strategy analyzed in this paper were chosen from presented news or announcements, while the portfolios of long short equity trades were selected based on its correlation and beta. In the following analysis, historical data of all involved stock prices were analyzed through line charts. Furthermore, the performance of each hedge case was measured through excess return, Sharpe ratio and Sortino ratio. Based on comparisons, long short equity outperforms merger arbitrage in usual cases and field profitability follows luxury > medicine > consumption > real estate. These results shed light on guiding investment decision in terms of hedge fund strategies.

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“…One such instance is the introduction of call options in the art market (Kraeussl and Wiehenkamp, 2012). The existing researchers have conducted significant work on various forms of alternative investments, such as hedge funds (Camarero Aguilera and López-Pascual, 2013; Namvar et al , 2016; Sokołowska, 2017; Falkowski et al , 2020; Papathanasiou et al , 2021) and private equity (Teti et al , 2012; Chinchwadkar and Shekhar, 2016; Stringham and Vogel, 2018; Phalippou, 2020). Studies focusing on real estate (Kuethe et al , 2014; Delfim and Hoesli, 2019; Balomenou et al , 2021) and art work (Worthington and Higgs, 2008; Bhatt, 2013; Ghosh and Mehta, 2017; Palanca-Tan and Santiago, 2018) present further evidence of the presence of alternative investments.…”

Section: Introductionmentioning

confidence: 99%

The potential of alternative investments as an asset class: a thematic and bibliometric review

Mundi

Kumar

2022

QRFM

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Purpose This paper aims to review, systematize and integrate existing research on alternative investments. This study conducts performance analysis comprising production timeline, country-wise contributions, analysis of sources, affiliations, the geography of authors and citations of studies on alternative investments. Design/methodology/approach This study adopts a thematic and bibliometric analysis methodology on 570 papers identified from mainstream literature on alternative investments. This study provides an analysis of science mapping, including co-citation analysis, bibliometric coupling, word analysis and trending topics on alternative investments. In addition, the study presents thematic analysis by classifying existing studies into nine themes. Findings Alternative investments provide diversification benefits and play a critical role in portfolio construction, and the research on alternative investments has gained momentum in recent times. This study finds that hedge funds, private equity, artwork, collectibles, commodities, fine wine and venture capital have remained prominent themes in the field. Investments in cryptocurrencies are an emerging area in the research on alternative investments. Research limitations/implications This study limits itself to the papers published in the area of finance and economics listed on the Scopus database. Originality/value This study provides quantitative bibliometric analysis and thematic analysis of the extant literature on alternative investments and identifies the areas that could be developed to advance research on alternative investments.

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The Effectiveness of Hedge Fund Investment Strategies under Various Market Conditions

Cited by 4 publications

References 0 publications

The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa

The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa

Hedge Fund Strategy Performances during Corona Virus Disease2019

The potential of alternative investments as an asset class: a thematic and bibliometric review

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