A Panel-based quantile regression analysis of funds of hedge funds

David Edmund Allen*, Akhmad Kramadibrata, Robert John Powell, Abhay Kumar Singh

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

3 Citations (Scopus)


This chapter analyzes the aggregate performance of a series of funds of hedge funds (FoHFs) as captured by BarclayHedge hedge fund data in a panel context. The analysis features a study of the sensitivity of the quantiles of the hedge fund return distributions to a set of factors chosen to capture the size of the FoHFs, movements of global stock markets, interest rates, and currencies. This study analyzes 152 FoHFs drawn from the BarclayHedge FoHFs database for the time period from January 2002 to December 2011, covering 10 years. The comparative analysis between a linear regression panel model and a panel quantile regression model shows that the effect of the factor (or explanatory variable) changes across quantiles of the FoHFs return distribution.
Original languageEnglish
Title of host publicationReconsidering funds of hedge funds
Subtitle of host publicationthe financial crisis and best practices in UCITS, tail risk, performance, and due diligence
EditorsGreg N. Gregoriou
Place of PublicationOxford
Number of pages12
ISBN (Print)9780124016996
Publication statusPublished - 2013
Externally publishedYes


Dive into the research topics of 'A Panel-based quantile regression analysis of funds of hedge funds'. Together they form a unique fingerprint.

Cite this