We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept … characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice … management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund …

performance. Among funds with relatively strong past performance, those with relatively low past MDDs, on average, have an out …-of-sample alpha of 2.40% per year. That alpha is magnified when markets are turbulent—a time during which manager skill should be most … valuable. Investors are averse to drawdown risk. After controlling for typical measures of past performance, fund flows remain …

researchers have always strived to produce a reference performance measure adjusted for risk. With such a measure, any … supplemental return would be denominated as “alpha”. But is this nectar real? How reliable is it when it comes to individual hedge … alpha is intimately related to its benchmark and the latter is particularly delicate in the hedge fund industry. This paper …

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in … alpha in the short second period from October 1998 to March 2000. In the cross section of FoFs, however, we are able to … identify FoFs capable of delivering persistent alpha. We find that these more successful hedge funds experience far greater …