Att stå emot stormen: en empirisk studie av nedsiderisk bland hedgefonder under covid-19 och inflationschocken

Sammanfattning

This paper investigates downside risk in Nordic hedge funds during the COVID-19 crisis of 2020 and the post-pandemic inflation crisis of 2022, comparing them to index funds, balanced funds, and actively managed equity funds. Value at Risk (VaR) and Expected Shortfall (ES) are estimated using a non-parametric method based on historical simulation with a rolling 36-month window. Differences across fund types are tested for statistical significance using the non-parametric Mann-Whitney U test. In addition, risk- adjusted performance is evaluated through the Sortino ratio, Sharpe-VaR, and Sharpe-ES across both crisis periods. The findings show that hedge funds – especially long/short strategies – exhibited lower downside risk and higher risk-adjusted returns than other fund types during both crises. In contrast, multi-strategy and fund-of-funds structures delivered weaker performance. While the overall patterns are robust, statistical significance varied across comparisons, and in some cases, results appear to have been influenced by geographic allocation. The results suggest that hedge funds, at least under certain strategies, fulfill their theoretical role as downside protectors during periods of market stress. At the same time, the pronounced variation in performance highlights the heterogeneity within the hedge fund category. Strategy selection – even within the same fund type – is therefore critical for effective risk management, with important implications for both investors and policymakers.