L’asset allocation dei fondi hedge durante la crisi finanziaria: un’analisi empirica

Piluso, Fabio and Amerise, Ilaria Lucrezia (2011): L’asset allocation dei fondi hedge durante la crisi finanziaria: un’analisi empirica.

Abstract

The hedge funds industry was partly blamed for the global financial crisis that started in 2007, especially in Europe. If one analyses the performance of hedge funds during this period, it becomes clear that the hedge fund industry did not necessarily fare well. Some funds gained, but many others incurred heavy losses. To address the issue performance of hedge funds during the financial crisis period (2007-2008) we undertook a study to settle the question of hedge fund performance using cluster analysis. Selecting the London hedge market (as it controls 77% of the European hedge funds) we have attempted to map out the various strategies used by the different managers as well as study the patterns of risk-return during periods of financial panic which increases the volatility of the markets. We believe that the strong instability of the markets should encourage the funds to invest in good shelter and exploit the high volatility of the quoted titles (long/short strategy). Our analysis clearly shows that the cluster analysis has helped us to identify hedge fund manager’s allocation strategies that are the best persistent performers during the financial crisis period in the London hedge fund market. And the overall best performer appears to be CTA/managed futures, long/short equities, and macro.

• Item Type: MPRA Paper
• English Title: The asset allocation of hedge funds during the financial crisis: an empirical investigation
• Language: Italian
• Keywords: hedge fund; investment strategy; cluster analysis; financial crisis
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors; G - Financial Economics > G0 - General > G01 - Financial Crises

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