| Amihud | ||||
---|---|---|---|---|---|
 | Crises | Outside crises | Subprime | Outside subprime | Whole sample |
General index | − 0.03 | − 0.02 | 0.06 | − 0.03 | − 0.03 |
 | − 2.39 | − 2.29 | 2.44 | − 3.85 | − 3.37 |
Convertibles | − 0.04 | − 0.66 | 0.11 | − 0.04 | − 0.03 |
 | − 1.13 | − 0.02 | 2.14 | − 2.01 | − 1.33 |
Distressed securities | − 0.13 | − 0.02 | 0.01 | − 0.08 | − 0.08 |
 | − 7.92 | − 2.04 | 0.02 | − 5.90 | − 5.78 |
Event driven | − 0.18 | − 0.04 | 0.01 | − 0.11 | − 0.11 |
 | − 6.83 | − 3.13 | 0.17 | − 8.91 | − 8.21 |
Equity market neutral | − 0.17 | − 0.04 | − 0.02 | − 0.11 | − 0.11 |
 | − 8.29 | − 2.85 | − 0.62 | − 8.05 | − 7.88 |
Fixed income | − 0.02 | − 0.01 | 0.07 | − 0.02 | − 0.01 |
 | − 1.96 | − 0.04 | 3.45 | − 2.26 | − 1.56 |
Futures | − 0.23 | − 0.02 | − 0.02 | − 0.13 | − 0.12 |
 | − 1.68 | − 0.75 | − 0.32 | − 5.13 | − 5.06 |
Growth | − 0.10 | 0.01 | 0.18 | − 0.07 | − 0.04 |
 | − 1.89 | 0.28 | 1.83 | − 1.70 | − 1.07 |
Long-short credit | − 0.14 | − 0.01 | 0.01 | − 0.07 | − 0.07 |
 | − 8.03 | − 0.23 | 0.34 | − 6.52 | − 6.27 |
Macro | − 0.01 | 0.01 | 0.09 | − 0.01 | − 0.01 |
 | − 0.25 | 0.18 | 1.06 | − 0.32 | − 0.13 |
Mergers | − 0.16 | 0.01 | − 0.11 | − 0.06 | − 0.07 |
 | − 8.60 | 0.62 | − 3.13 | − 4.38 | − 5.19 |
Multistrategy | 0.03 | 0.13 | 0.08 | 0.09 | 0.08 |
 | 1.49 | 4.47 | 1.21 | 3.87 | 3.71 |
Opportunity index | − 0.15 | − 0.02 | 0.11 | − 0.11 | − 0.08 |
 | − 3.98 | − 0.68 | 1.44 | − 3.33 | − 2.75 |
Short-sellers | − 0.24 | − 0.23 | − 0.19 | − 0.24 | 0.07 |
 | − 2.72 | − 3.12 | − 1.05 | − 3.05 | 1.66 |
Value index | 0.09 | 0.07 | 0.39 | 0.03 | 0.13 |
 | 1.36 | 1.23 | 3.29 | 0.68 | 0.56 |
All strategies | − 0.05 | 0.01 | 0.04 | − 0.05 | − 0.02 |
 | − 5.28 | 0.01 | 3.46 | − 12.64 | − 5.69 |