A diverse set of measures allows investors to evaluate hedge fund portfolio managers' performance across different dimensions. The various measures quantify the effectiveness of security selection, account for investor flows, operating risk, and worst-case investment scenarios, net out benchmark...

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 provides a risk framework for fiduciaries considering using a core-satellite approach to investing. While the article mainly covers the additional risk measurement techniques, which are needed when investing in hedge funds, its recommendations are also relevant for other investments...

Recent literature shows that hedge fund activism creates value for shareholders and substantially changes target firms. Sell-side analysts, however, produce analysis and generate ideas to buy-side clients including hedge funds. We investigate whether and how sell-side analyst reports affect...

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI...

Extant research has focused on mutual fund managers' ability to time market returns or volatility. In this paper, we offer a new perspective on the traditional timing issue by examining fund managers' ability to time market wide liquidity. Using the CRSP mutual fund database, we find strong...

This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows,...

Hedge funds have greatly increased their assets under management in the last decades, partly driven by investments from institutions such as pension funds and endowments funds. This paper considers the added value of an investment in hedge funds from the perspective of a passive investor. The...

In der Literatur wird häufig vermutet, dass eine zunehmende Anzahl Hedgefondseinen negativen Einfluss auf die Renditen dieser Fonds haben könnte. DieserVermutung wird in diesem Beitrag nachgegangen. Wir verfolgen dabei zweiZiele: Zum einen geben wir einen Überblick über die Entwicklung des...

Eine zentrale Fragestellung in der wissenschaftlichen Auseinandersetzung auf dem GebietHedgefonds stellt deren Performancemessung dar. Ausgangspunkt unserer Untersuchungbildet die in der Literatur verbreitete Meinung, dass Hedgefonds aufgrund ungewöhnlicherAusprägungen der höheren...