We seek evidence that top performing hedge funds follow a different strategy than mediocre performing hedge funds by examining the structure of significant risk factors that explain the out of sample excess net returns. Consequently, we examine the out of sample returns of hedge funds to...

We examine term structure theories by using a novel approach. We form bond investment strategies based on different theories of the term structure in order to determine which strategy performs best. When using a manipulation-proof performance measure, we find that consistent with prior...

Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve...