JAGANNATHAN, RAVI; MALAKHOV, ALEXEY; NOVIKOV, DMITRY - In: Journal of Finance 65 (2010) 1, pp. 217-255
In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be...