Performance and Performance Persistence of Hedge Funds : Evidence from the Emerging Markets

This study examines the performance and performance persistence of emerging markets (EM) hedge funds. I document that EM hedge funds do not exhibit positive excess returns during the full sample period (1996 – 2021). I find strong evidence of a significant upward trend in performance during the most recent covid pandemic. Confirming prior research, EM hedge funds located close to their investments (local EM hedge funds) outperform their peers domiciled outside the EM (non-local EM hedge funds) and significantly outperform their market benchmarks. My results suggest that EM hedge funds exhibit moderate performance persistence at short- and mid-term horizons, with persistence decreasing at the long-term horizons. Non-local EM hedge funds show stronger performance persistence than local EM hedge funds