Purpose – The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach – The performance of a market timer can be measured through the 1966 Treynor and Mazuy model,...

Purpose – The purpose of this paper is to explore how hedge fund database biases developed during the 2007-2009 financial crisis. Design/methodology/approach – The sample consists of 8,935 hedge funds from the Lipper TASS Hedge Fund Database for the January 2002-September 2010 time period....

Purpose – The development of alternative investment has not yet been accompanied by genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. To fill the gap, in 2004 EDHEC launched an international...

Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...