Standard tests for persistence in hedge fund performance are not consistent with investment practices because they ignore performance reporting delay, overlook fund selection standards of institutional investors, and often use portfolios with too many funds. This paper introduces a set of tests...

This study attempts to test the performance persistence hypothesis for Commodity Trading Advisors (CTAs) considering the impact of incubation and backfill bias. From the empirical test using Fama-MacBeth regression and quintile analysis, we suggest a robust result that ranking CTAs using the...