The analysis of relative performance of London hedge funds during the financial crisis
by Fabio Piluso; Ilaria L. Amerise; James P. Neelankavil
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 3, No. 2, 2013

Abstract: The hedge funds industry received part of the blame, for the global financial crisis of 2007. An analysis of hedge funds during the crisis shows that the hedge fund industry had disastrous results. In spite of the difficulties, however, some funds did perform quite well. To address the issue of hedge fund performance during the financial crisis period, a study was undertaken to quantitatively determine the performance outcomes of the hedge funds in the London market. Cluster analysis was used to identify different fund managers' various strategies and to understand their patterns of risk-return during periods of financial panic - periods that increase market volatility. Our analysis was able to identify the hedge fund manager's allocation strategies that were the best performers during the financial crisis period in the London hedge fund market. The analysis shows that the overall best performers appear to be long short equities, diversified debt, and bottom-up.

Online publication date: Fri, 25-Jul-2014

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