We investigate US hedge funds' performance across different economic and market conditions for the longest period to date, 1990-2014. The paper examines the impact of multiple business cycles and rising/falling markets on exposures and excess returns delivered to investors. We use a twin...

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent...

This paper illustrates how qualitative analysis can be incorporated into quantitative risk measurement in order to construct an expected distribution of hedge fund returns that explicitly allows for market, residual and tail risk. We show how the combination of statistical criteria with...

This study proposes indexing strategies representative of the equity market and based on readily available accounting information. In contrast to the previous literature, we discard balance sheet variables and instead develop two indices that revolve solely around income statement and dividend...