联邦储备委员会Ashley W. Wang：在不同市场国家中的对冲基金业绩持续性
【主讲】Ashley W. Wang，经济学家和高级经济学家，联邦储备委员会
We provide novel evidence that hedge fund performance is persistent after periods of low hedge fund market returns but not after periods of high market returns. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditional on whether the overall hedge fund market is performing relatively poorly or strongly. After adjusting for risk and fund characteristics, funds in the highest DownsideReturns quintile outperform funds in the lowest quintile by 5% in the subsequent year, whereas funds with better UpsideReturns do not outperform subsequently. The finding suggests an error-in-measurement problem, which weakens the return predictability for unconditional average historical returns.