Alternative Mutual Funds (AMFs) follow strategies similar to those of hedge funds and seek returns uncorrelated with the market. We analyze the performance of AMFs for the period January, 1998 through December, 2011 using the Carhart four-factor model and the Fung-Hsieh seven-factor model. Our...

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets, but is not persistent following strong markets. Specifically, we construct two performance measures, RET_DOWN and RET_UP, conditioned on the level of overall hedge fund sector returns. After...

Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases....