This article examines performance persistence of 773 hedge funds from the period 1990 to 2003. The sample is free of survivorship bias, backfill, and selection bias. We find evidence of managerial positive performance persistence using multi-factor models. Performance is measured by Jensen’s...

In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...

This article examines the application of the Sharpe style analysis versus a rolling methodology of monthly returns of long/short funds, market neutral funds, event – driven hedge funds and their related indices. The Sharpe ratio is calculated as the ratio of the excess return divided by the...

This article aims at testing empirically the major building blocks that affect the performance and risk adjusted measures of funds of funds hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Funds of hedge funds invest solely in...

In this article, we have tested the volatility of the monthly returns of an equity hedge fund for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...

This article aims at testing empirically the major building blocks that affect the performance of equity market neutral hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. A market neutral strategy combines both long and short...

In this paper, we are examining hedge funds risk and return profile for the period 1998 to 2003. The large range in returns and dispersion suggest that the mean variance approach may not indicate a complete picture of hedge funds performance. Our results suggest that for the examined period, we...