This paper investigates mega hedge fund management companies that manage over 50% of the industry's assets, incorporating previously unavailable data from those that do not report to commercial databases. We document similarities among mega firms that report performance to commercial databases...

We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently...

Asset-based style factors link returns of hedge-fund strategies to observed market prices. They provide explicit and unambiguous descriptions of hedge-fund strategies that tells us both the nature as well as the quantity of risk. Asset-based style factors are key inputs to portfolio construction...

This paper discusses the information content and potential measurement biases in hedge fund benchmarks. Hedge fund indices built from databases of individual hedge funds will inherit their measurement biases. In addition, broad-based indices mask the diversity of individual hedge fund return...

We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently...