Hedge Funds Strongest Around the Turns of Odd Years?
September 5, 2006 - Calendar Effects, Mutual/Hedge Funds
Do hedge funds eliminate, or even reverse, seasonal effects in the returns of the stock market? In his September 2006 paper entitled “Seasonality in Hedge Fund Strategies”, Yan Olszewski investigates general seasonal effects for various hedge fund strategies. Using monthly excess return data during 1990-2005 for 30 of the 37 equally-weighted Hedge Fund Research strategy indexes encompassing over 1600 funds, he finds that: Keep Reading