BIROn - Birkbeck Institutional Research Online

    A Bayesian learning model of hedge fund performance

    Mamatzakis, Emmanuel and Patel, P.C. and Tsionas, M.G. (2023) A Bayesian learning model of hedge fund performance. Annals of Operations Research , ISSN 0254-5330.

    [img] Text
    52804.pdf - Author's Accepted Manuscript
    Restricted to Repository staff only until 16 November 2024.

    Download (1MB) | Request a copy


    We provide a Bayesian learning model in hedge fund performance. Our modelling provides a novel Bayesian aspirational model for panel data that is stable across different priors as reported from the mapping of the prior to the posterior of the Bayesian baseline model with the adoption of different priors. The parameters of our learning equation are time-varying which, to the best of our knowledge, is only addressed in Hu et al. (2017) who assumed that the parameters have time and individual effects and depend on observed covariates. Our data set comes from the Lipper Trading Advisor Selection System (TASS) database which includes data on performance and types of assets under management. Results reveal that a higher initial share price, management fee, leveraged and redemption notice period had a negative effect on learning. The learning curve has a U-shaped relationship, specifically, learning improves over the first three years, and gradually declines to zero by the eight-year. The second stage of analysis shows that though mean levels of learning do not directly influence performance, a higher standard deviation in learning lowers the decline in performance with higher mean learning. But we report variability in results across various models that we test for robustness.


    Item Type: Article
    Keyword(s) / Subject(s): Bayesian panel learning model, Fund performance, time-varying covariance.
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Research Centres and Institutes: Accounting and Finance Research Centre
    Depositing User: Emmanuel Mamatzakis
    Date Deposited: 26 Jan 2024 16:27
    Last Modified: 27 Jan 2024 11:29


    Activity Overview
    6 month trend
    6 month trend

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item