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

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

doi:10.1016/B978-0-12-401699-6.00016-2

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 proceeding › Chapter › peer-review

1 Citation (Scopus)

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.

Original language	English
Title of host publication	Reconsidering funds of hedge funds
Subtitle of host publication	the financial crisis and best practices in UCITS, tail risk, performance, and due diligence
Editors	Greg N. Gregoriou
Place of Publication	Oxford
Publisher	Elsevier
Chapter	16
Pages	261-272
Number of pages	12
ISBN (Print)	9780124016996
DOIs	https://doi.org/10.1016/B978-0-12-401699-6.00016-2
Publication status	Published - 2013
Externally published	Yes

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10.1016/B978-0-12-401699-6.00016-2

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Cite this

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title = "A Panel-based quantile regression analysis of funds of hedge funds",

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.",

author = "Allen, {David Edmund} and Akhmad Kramadibrata and Powell, {Robert John} and Singh, {Abhay Kumar}",

year = "2013",

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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 proceeding › Chapter › peer-review

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AB - 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.

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

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