2009/03/13 by Nicolas P. B. Bollen, Robert E. Whaley · 2 citations
Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Insurance and Financial Risk Management
paper · doi:10.1111/j.1540-6261.2009.01455.x
openalex publication_date 2009/03/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/06/16
ABSTRACT Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's exposure to risk factors. If exposures are assumed constant when, in fact, they vary through time, estimated abnormal returns may be incorrect. We employ an optimal changepoint regression that allows risk exposures to shift, and illustrate the impact on performance appraisal using a sample of live and dead funds during the period January 1994 through December 2005.