Daniel, Capocci; Albert, Corhay; Georges, Hübner - EconWPA - 2004
Hedge Fund Performance and Persistence in Bull and Bear Markets DANIEL P.J. CAPOCCI University of Liege - Economics … paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends …-factor composite performance model that achieves very high significance levels. The analysis of performance indicates that most hedge …