Verbeek, Marno; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2004
A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and … analyze persistence in hedge fund performance over the period 1994-2000, taking into account the above biases. The results … expected returns by as much as 8% per year. Overall, the results are consistent with positive persistence in hedge fund returns …