This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

This Article attempts to define hedge funds and to distinguish them from a variety of similar investment funds. After reviewing the hedge fund definition in the U.S. and the EU, this Article argues that the current regulatory framework, which defines hedge funds by reference to what they are not...

We reconsider the question of whether beta-centric hedge fund activity is predictive of superior performance. We construct a measure of overall beta activity of fund managers, Beta Activity, and find evidence that top beta active managers deliver superior long term out-of-sample performance...

This paper proposes a method for generating unbiased predictors of downside and tail volatility for individual mutual funds, using theoretical market state prices and applying these to fund payoffs. The method is validated as a predictor of market downside and tail volatility. The Fund...

We evaluate popular measures of hedge fund tail risk such as maximum drawdown (MDD) and worst one-period loss, and prove theoretically that realized tail risk is a downward-biased estimator of true tail risk. The bias can be almost 100% using a reasonable calibration. That is, true tail risk can...

In the money management industry, there is a “hushed” argument over who has a better performance, Traditional Managers (Fundamentalists), or Quantitative Managers; in hedge funds and mutual funds.This study has been carried out to investigate into the difference between qualitative and...

Alternative alpha represents risk-adjust absolute return of an alternative investing instrument regressed on alternative risk factors. Over the years, the definition is extended to the absolute return generated from alternative asset speculation -- long-only or long-short strategy on alternative...

This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...