Is Blash possible in Hedge Funds? An approach to Seasonality
Autor(a) principal: | |
---|---|
Data de Publicação: | 2010 |
Outros Autores: | |
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. |
id |
RCAP_a008d47cdffe50410267bb5ef1672415 |
---|---|
oai_identifier_str |
oai:repositorio.upt.pt:11328/1770 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
http://ssrn.com/abstract=1648940 |
dc.rights.driver.fl_str_mv |
http://creativecommons.org/licenses/by/4.0/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
http://creativecommons.org/licenses/by/4.0/ |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
SSRN |
publisher.none.fl_str_mv |
SSRN |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799134987073617920 |