Is Blash possible in Hedge Funds? An approach to Seasonality

Detalhes bibliográficos
Autor(a) principal: Mendes­-Ribeiro, Mafalda
Data de Publicação: 2010
Outros Autores: Machado-Santos, Carlos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11328/1770
https://doi.org/http://dx.doi.org/10.2139/ssrn.1648940
Resumo: Seasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also? Many market participants have observed that as year goes by, a December Spike occurs frequently, and that has permeated the financial community to accept this effect as a common occurrence.This paper intends to determine whether seasonality exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indexes with another one of the most representative indexes of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of seasonality on every strategy, comparing the two data sources, showing that there are significant higher returns in December, as well as lower and negative returns during the months of August, September and October. These results suggest that BLASH (Buy Low And Sell High) is possible in Hedge Funds management.
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spelling Is Blash possible in Hedge Funds? An approach to SeasonalityHedge fundsAverage monthly returnsAnnual returnsManagement incentive feesSeasonalitySeasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also? Many market participants have observed that as year goes by, a December Spike occurs frequently, and that has permeated the financial community to accept this effect as a common occurrence.This paper intends to determine whether seasonality exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indexes with another one of the most representative indexes of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of seasonality on every strategy, comparing the two data sources, showing that there are significant higher returns in December, as well as lower and negative returns during the months of August, September and October. These results suggest that BLASH (Buy Low And Sell High) is possible in Hedge Funds management.SSRN2017-03-14T11:45:21Z2017-03-142010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfMendes­-Ribeiro, M., & Machado­-Santos, C. (2010). Is Blash possible in Hedge Funds? An approach to Seasonality. International Research Journal of Applied Finance, July, 1-30. Disponível no Repositório UPT, http://hdl.handle.net/11328/1770http://hdl.handle.net/11328/1770Mendes­-Ribeiro, M., & Machado­-Santos, C. (2010). Is Blash possible in Hedge Funds? An approach to Seasonality. International Research Journal of Applied Finance, July, 1-30. Disponível no Repositório UPT, http://hdl.handle.net/11328/1770http://hdl.handle.net/11328/1770https://doi.org/http://dx.doi.org/10.2139/ssrn.1648940enghttp://ssrn.com/abstract=1648940http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessMendes­-Ribeiro, MafaldaMachado-Santos, Carlosreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-16T02:15:34Zoai:repositorio.upt.pt:11328/1770Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:42:13.156876Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Is Blash possible in Hedge Funds? An approach to Seasonality
title Is Blash possible in Hedge Funds? An approach to Seasonality
spellingShingle Is Blash possible in Hedge Funds? An approach to Seasonality
Mendes­-Ribeiro, Mafalda
Hedge funds
Average monthly returns
Annual returns
Management incentive fees
Seasonality
title_short Is Blash possible in Hedge Funds? An approach to Seasonality
title_full Is Blash possible in Hedge Funds? An approach to Seasonality
title_fullStr Is Blash possible in Hedge Funds? An approach to Seasonality
title_full_unstemmed Is Blash possible in Hedge Funds? An approach to Seasonality
title_sort Is Blash possible in Hedge Funds? An approach to Seasonality
author Mendes­-Ribeiro, Mafalda
author_facet Mendes­-Ribeiro, Mafalda
Machado-Santos, Carlos
author_role author
author2 Machado-Santos, Carlos
author2_role author
dc.contributor.author.fl_str_mv Mendes­-Ribeiro, Mafalda
Machado-Santos, Carlos
dc.subject.por.fl_str_mv Hedge funds
Average monthly returns
Annual returns
Management incentive fees
Seasonality
topic Hedge funds
Average monthly returns
Annual returns
Management incentive fees
Seasonality
description Seasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also? Many market participants have observed that as year goes by, a December Spike occurs frequently, and that has permeated the financial community to accept this effect as a common occurrence.This paper intends to determine whether seasonality exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indexes with another one of the most representative indexes of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of seasonality on every strategy, comparing the two data sources, showing that there are significant higher returns in December, as well as lower and negative returns during the months of August, September and October. These results suggest that BLASH (Buy Low And Sell High) is possible in Hedge Funds management.
publishDate 2010
dc.date.none.fl_str_mv 2010-01-01T00:00:00Z
2017-03-14T11:45:21Z
2017-03-14
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv Mendes­-Ribeiro, M., & Machado­-Santos, C. (2010). Is Blash possible in Hedge Funds? An approach to Seasonality. International Research Journal of Applied Finance, July, 1-30. Disponível no Repositório UPT, http://hdl.handle.net/11328/1770
http://hdl.handle.net/11328/1770
Mendes­-Ribeiro, M., & Machado­-Santos, C. (2010). Is Blash possible in Hedge Funds? An approach to Seasonality. International Research Journal of Applied Finance, July, 1-30. Disponível no Repositório UPT, http://hdl.handle.net/11328/1770
http://hdl.handle.net/11328/1770
https://doi.org/http://dx.doi.org/10.2139/ssrn.1648940
identifier_str_mv Mendes­-Ribeiro, M., & Machado­-Santos, C. (2010). Is Blash possible in Hedge Funds? An approach to Seasonality. International Research Journal of Applied Finance, July, 1-30. Disponível no Repositório UPT, http://hdl.handle.net/11328/1770
url http://hdl.handle.net/11328/1770
https://doi.org/http://dx.doi.org/10.2139/ssrn.1648940
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