Research shows that hedge fund investors may want to join others by “selling in May and going away”
| Aug 15th, 2010 | Filed under: Academic Research, Hedge Fund Industry Trends, Today's Post | By: Alpha Male |
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In the midst of the Northern Hemisphere’s “winter blues” back in February 2007, we told you about a research paper showing that hedge funds also suffer from a form of “seasonal affective disorder.” Only theirs was in the summer, not the winter (maybe a result of the old adage “sell in May and go away“?) This year seems to fit the pattern. After a promising start, hedge funds hit a soft spot beginning in May (although July looks to have been okay).
But what are the characteristics that put a fund at risk of experiencing the hedge fund equivalent of “S.A.D.”? A new paper by Mafalda Ribeiro and C. Machado-Santos of the Universidade Lusofona do Porto (ULP) in Portugal compares the seasonality of two separate hedge fund indices: the CS/Tremont hedge fund indices, which are asset-weighted, and the Edhec “indices of indices”, broad indicators of hedge fund performance that include both asset-weighted and fund-weighted indices.
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