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Table 2 Descriptive statistics of the time-varying betas of hedge fund strategies

From: Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

  Mean Median Max Min St-dev Sharpe ρ
General index 0.378 0.389 0.532 0.203 0.078 4.846 0.25***
Convertibles 0.246 0.236 0.560 0.009 0.115 2.139 0.57***
Distressed securities 0.376 0.397 0.579 0.099 0.113 3.327 0.47***
Equity market neutral 0.145 0.156 0.219 0.023 0.047 3.085 0.27***
Event driven 0.439 0.460 0.651 0.185 0.113 3.885 0.29***
Fixed income 0.158 0.129 0.413 −0.098 0.114 1.386 0.41***
Futures 0.004 −0.007 0.245 −0.137 0.078 0.051 0.01
Growth 0.844 0.890 1.143 0.418 0.187 4.513 0.19**
Long-short credit 0.129 0.118 0.314 −0.109 0.085 1.518 0.39***
Macro 0.110 0.112 0.190 0.023 0.035 3.143 0.04
Mergers 0.136 0.141 0.221 0.029 0.048 2.833 0.23***
Multistrategy 0.401 0.429 0.564 0.165 0.099 4.051 0.24***
Opportunity index 0.470 0.481 0.711 0.268 0.096 4.896 0.20**
Short-sellers −0.976 −0.949 −0.264 −1.922 0.351 −2.781 0.11*
Value index 0.591 0.610 0.821 0.298 0.131 4.511 0.18***
  1. The time-varying beta of strategy i is equal to: \(\beta_{it} = \frac{{{\text{cov}}_{t} \left( {R_{i} ,R_{m} } \right)}}{{{\text{var}}_{t} \left( {R_{m} } \right)}}\), where Ri is the return of strategy i and Rm is the market return, as measured by the S&P500’s return. The covariance and variance measures are computed with the MGARCH algorithm (Bollerslev et al. 1988; Engle and Colacito 2006; Engle 2016). The ρ coefficient associated with a strategy is equal to the coefficient of autocorrelation of the first-order degree of its return. The significance levels of the p-values are 1% indicated by ***; 5%, **; and 10%, *.