| |
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***
|
- 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%, *.
