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

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

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

Abstract

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.
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
PublisherElsevier
Chapter16
Pages261-272
Number of pages12
ISBN (Print)9780124016996
DOIs
Publication statusPublished - 2013
Externally publishedYes

Fingerprint

Regression analysis
Hedge funds
Quantile regression
Quantile
Return distribution
Factors
Regression model
Currency
Stock market
Interest rates
Comparative analysis
Panel model
Linear regression
Data base

Cite this

Allen, D. E., Kramadibrata, A., Powell, R. J., & Singh, A. K. (2013). A Panel-based quantile regression analysis of funds of hedge funds. In G. N. Gregoriou (Ed.), Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence (pp. 261-272). Oxford: Elsevier. https://doi.org/10.1016/B978-0-12-401699-6.00016-2
Allen, David Edmund ; Kramadibrata, Akhmad ; Powell, Robert John ; Singh, Abhay Kumar. / A Panel-based quantile regression analysis of funds of hedge funds. Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. editor / Greg N. Gregoriou. Oxford : Elsevier, 2013. pp. 261-272
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Allen, DE, Kramadibrata, A, Powell, RJ & Singh, AK 2013, A Panel-based quantile regression analysis of funds of hedge funds. in GN Gregoriou (ed.), Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. Elsevier, Oxford, pp. 261-272. https://doi.org/10.1016/B978-0-12-401699-6.00016-2

A Panel-based quantile regression analysis of funds of hedge funds. / Allen, David Edmund; Kramadibrata, Akhmad; Powell, Robert John; Singh, Abhay Kumar.

Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. ed. / Greg N. Gregoriou. Oxford : Elsevier, 2013. p. 261-272.

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

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Allen DE, Kramadibrata A, Powell RJ, Singh AK. A Panel-based quantile regression analysis of funds of hedge funds. In Gregoriou GN, editor, Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. Oxford: Elsevier. 2013. p. 261-272 https://doi.org/10.1016/B978-0-12-401699-6.00016-2