Hedge Fund (HF) managers are expected to create excess investment returns (Alpha) through two primary skills based sources: (i) Security selection: buying undervalued securities and selling overvalued securities. (ii) Market timing: entering markets in advance of, or when they are rising and...

We use a Markov chain model to evaluate pure persistence in hedge fund returns. We study two forms of pure persistence: absolute persistence and persistence with respect to the high water mark, accounting for the size of drawdowns. We find that hedge funds in general exhibit persistence in...

This study identifies a previously unreported bias in the TASS database. Owing to a merger with the Tremont database, 60 percent of the funds added to the TASS database between April 1999 and November 2001 are likely to be survivors (i.e., funds that were selected only from funds that were live...

Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term...

Using a comprehensive dataset of hedge fund 13F filings, we analyze hedge fund trading from 1998-2010 to determine if investor redemptions cause fire sales and stock market disruptions. We find evidence of hedge fund fire sales in the two quarters with the worst stock market performance. During...

In this article, we are testing the performance of offshore hedge funds for the period 1998 to 2003. Offshore hedge funds are located for example in Cayman Islands, British Virgin Islands and Bermuda. Offshore hedge funds offer flexibility in terms that they invest in international equities,...

Commodity trading advisers, (CTA), or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. Hedge funds use managed futures in terms of indices, treasuries, fixed–income securities and commodities such as gold,...

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...