We reconsider the question of whether beta-centric hedge fund activity is predictive of superior performance. We construct a measure of overall beta activity of fund managers, Beta Activity, and find evidence that top beta active managers deliver superior long term out-of-sample performance...

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to...

This study investigates the benefits of using a more complex derivative strategy of a fund in relation to their performance and risk characteristics using samples of 3,382 individual hedge funds and 761 funds of hedge funds. The results of the study are consistent with the hypothesis that the...

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent...

A typical hedge fund manager receives greater compensation when the fund has a strong absolute or relative performance. Asymmetric performance fees and fund flow-performance relationship may create incentives for risk-shifting, estimated in our study by the change in fund return volatility in...

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

This paper investigates hedge funds' ability to time industry-specific returns and shows that funds' timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The results indicate that best industry-timing hedge...

It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund return distributions from normality are statistically significant. The literature on performance evaluation...

The purpose of this doctoral thesis is clearly established: to understand whether fund of hedge funds based portable alpha strategies provide tools for better investment results commensurate with risk and costs.A finance literature review is presented, which also delves into the roots of hedge...