This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...

A great deal of research effort has sought to understand whether fund managers have skill. However, most of this research draws inferences from fund returns attributable to funds that may have been managed by many different managers over the years. In this paper we focus on the fund manager. We...

We propose an innovative methodology for decomposing the value added generated by a money manager within a given assessment interval into the contributions of the manager's investment decisions made in the various periods, in order to identify the most (and the least) impactful period decisions....

We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a...

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

This review describes several important recent advances in the measurement of the performance of actively managed portfolios. For returns-based performance evaluation, we discuss several innovations, such as conditional performance evaluation, Bayesian approaches, and a new multiple-testing...

Funds of Hedge Funds (FoHFs) are often thought to have excess skewness relative to the S&P 500. We illustrate by means of novel econometric methods that this arises because of a buy-and-hold strategy with respect to underlying hedge funds, which exhibit excess skewness with respect to the...

An analysis was conducted using a sample of over 275 global hedge fund allocators of the operational due diligence frameworks in place at these organizations. By developing an understanding of the operational due diligence structures in place, this paper establishes a transparent benchmark...

I analyze hedge fund activism within a simple behavioral finance framework where managers are excessively optimistic about their firm's long-run prospects, the market is efficient, and hedge fund activists are excessively pessimistic as a result of a behavioral winner's curse. This generates a...