Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis
type: Dataset
description: In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to December 2012. Our findings suggest that i) For about 80% of the funds, we fail to reject the null of randomness of returns, ii) A similar ...gure is found out when focusing on relative returns, iii) Hedge funds that do present clustering in their relative returns are mainly found within Event Driven and Relative Value strategies, iv) For relative returns, results vary with the benchmark nature (hedge or traditional). The paper also emphasizes that runs tests may be a useful tool for investors in their fund' s selection process.
issued: 2026-05-05T12:47:26.631803
language: en
modified: 2026-05-05T12:47:26.631808
contact point: Organization
  fn: CCSD
keyword: clustering
keyword: hedge-funds
keyword: infoeu-reposemanticspreprint
keyword: jel-c---mathematical-and-quantitative-methodscc1---econometric-and-statistical-methods-and-method
keyword: persistence
keyword: preprints-working-papers-
keyword: qfinpmquantitative-finance-q-finportfolio-management-q-finpm
keyword: randomness
keyword: runs-tests
landing page: https://paris1.hal.science/hal-00984777

Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis
type: Distribution
format: HTML
issued: 2026-05-05T12:47:26.637801
modified: 2026-05-05T12:47:26.617777
access URL: https://paris1.hal.science/hal-00984777

test_moissonnage_selune
type: Agent