| Amihud | ||||
---|---|---|---|---|---|
 | Crises | Outside crises | Subprime | Outside subprime | Whole sample |
General index | − 0.10 | 0.16 | 0.95 | 0.24 | 0.18 |
 | − 0.28 | 0.54 | 1.52 | 1.00 | 0.79 |
Convertibles | 0.56 | 0.31 | 0.47 | 0.75 | 0.55 |
 | 1.05 | 0.67 | 0.55 | 2.23 | 1.62 |
Distressed securities | 0.25 | 0.42 | 0.44 | 0.68 | 0.48 |
 | 0.66 | 1.33 | 0.71 | 2.80 | 1.97 |
Event driven | − 0.55 | 0.18 | 0.80 | 0.06 | 0.01 |
 | − 1.44 | 0.58 | 1.26 | 0.23 | 0.02 |
Equity market neutral | 0.77 | − 0.26 | 1.70 | 0.28 | 0.32 |
 | 2.35 | − 0.97 | 3.09 | 1.30 | 1.60 |
Fixed income | 0.47 | − 0.06 | 0.71 | 0.42 | 0.30 |
 | 1.23 | − 0.19 | 1.15 | 1.76 | 1.31 |
Futures | 1.21 | 1.34 | 1.60 | 1.58 | 1.42 |
 | 1.30 | 1.67 | 1.01 | 2.47 | 2.14 |
Growth | − 2.17 | 0.40 | 0.33 | − 0.53 | − 0.57 |
 | − 2.57 | 0.55 | 0.22 | − 0.87 | − 1.00 |
Long-short credit | 0.94 | − 0.24 | 1.64 | 0.38 | 0.40 |
 | 2.77 | − 0.88 | 2.95 | 1.79 | 1.92 |
Macro | − 0.20 | − 0.18 | 0.97 | − 0.03 | − 0.05 |
 | − 0.38 | − 0.39 | 1.03 | − 0.10 | − 0.15 |
Mergers | 0.13 | − 0.06 | 1.08 | − 0.09 | 0.02 |
 | 0.40 | − 0.16 | 2.55 | − 0.57 | 0.14 |
Multistrategy | − 0.05 | − 0.22 | 1.35 | − 0.05 | − 0.01 |
 | − 0.13 | − 0.70 | 2.00 | − 0.19 | − 0.05 |
Opportunity index | − 0.63 | 0.38 | 0.55 | 0.18 | 0.08 |
 | − 1.19 | 0.84 | 0.59 | 0.50 | 0.22 |
Short-sellers | 3.15 | − 0.65 | 1.65 | 1.23 | 1.13 |
 | 1.76 | − 0.41 | 0.54 | 0.99 | 0.98 |
Value index | − 1.80 | − 0.54 | − 2.16 | − 0.56 | − 0.95 |
 | − 2.56 | − 0.88 | − 1.77 | − 1.13 | − 2.04 |
All strategies | 0.17 | 0.03 | 1.00 | 0.30 | 0.20 |
 | 0.68 | 0.13 | 2.40 | 1.97 | 2.09 |