Connor, Gregory and Li, Sheng
Market Dispersion and the Profitability of Hedge Funds.
Department of Economics Finance & Accounting NUI Maynooth.
We examine the impact of market dispersion on the performance of hedge funds. Market
dispersion is measured by the cross-sectional volatility of equity returns in a given month.
Using hedge fund indices and a panel of monthly returns on individual hedge funds, we
that market dispersion and the performance of hedge funds are positively related. We also
nd that the cross-sectional dispersion of hedge fund returns is positively related to the level
of market dispersion.
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