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We provide the first quantitative survey of the empirical literature on hedge fund per- formance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying data and by lim- ited consensus on how hedge...
Persistent link: https://www.econbiz.de/10013270929
We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong downward trend in the reported alphas. The trend...
Persistent link: https://www.econbiz.de/10014521048
A diverse set of measures allows investors to evaluate hedge fund portfolio managers' performance across different dimensions. The various measures quantify the effectiveness of security selection, account for investor flows, operating risk, and worst-case investment scenarios, net out benchmark...
Persistent link: https://www.econbiz.de/10012954154
Despite having registered significant investor appetite in recent years, empirical research on UCITS compliant hedge funds (“Newcits” or “Alternative UCITS”) is a rare commodity. The major contribution of this paper is therefore to evaluate the performance of publicly regulated...
Persistent link: https://www.econbiz.de/10013037569
We show that a simple and intuitive variable, the return of a bear spread portfolio orthogonalized with respect to the market (H-Bear factor), can serve as an important pillar for explaining the cross-section of hedge fund returns. Low H-Bear exposure funds (bear risk insurance sellers)...
Persistent link: https://www.econbiz.de/10013492397
Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment...
Persistent link: https://www.econbiz.de/10013156568
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...
Persistent link: https://www.econbiz.de/10009306604
Persistent link: https://www.econbiz.de/10003321573
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after...
Persistent link: https://www.econbiz.de/10012038535
Consistent with the argument that portfolio disclosure reveals "trade secrets", a difference-in-differences estimation suggests that there is a drop in fund performance after a hedge fund begins filing Form 13F, as well as an increase in return correlations with other funds in the same...
Persistent link: https://www.econbiz.de/10013008932