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Abstract:
The issue of performance measurement in the hedge fund industry has led to literature that is both abundant and controversial. The explanation for this complexity lies in the particular features of alternative funds. Hedge funds invest in a heterogeneous range of financial assets and cover a wide range of strategies that have different risk and return profiles. Even though the current studies on hedge fund performance appear to be confusing, due to conflicting conclusions and criticism of the methods employed in previous papers, they contribute to an improvement in the knowledge of alternative funds, and leading approaches are confirmed. The aim of this paper is to highlight some specific characteristics of hedge funds and their implications in terms of performance measurement. The most recent innovative contributions are reported.

Hedge funds, performance measurement, persistence, models

Abstract:
In the hedge fund universe, where it is frequently said that performance is extracted from managers, reflecting active asset management, the implementation of hedge fund indices may be surprising, because the notion of index is commonly associated with the notion of passive management. The aim of this study is to revisit the issue of hedge fund strategy benchmarks, and answer the following question: can investors in the alternative arena measure the relative return of hedge funds? In other words, can investable and/or non-investable hedge fund indices provide investors with useful tools for performance measurement?

Hedge fund, hedge funds, indices, non-investable indices, investable indices, benchmarks, strategy benchmarks

Abstract:
This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this subject. About 50 publications in the most famous journals and working papers written by recognized authors have been selected to provide a dynamic and comprehensive view of the improvements in hedge fund performance measurement. The issue of performance measurement in the hedge fund industry has led to literature that is both abundant and controversial. The explanation of this complexity lies in the particular features of alternative funds. Hedge funds invest in a heterogeneous range of financial assets and cover a wide range of strategies that have different risk and return profiles. Even though the current studies on hedge fund performance appear to be confusing, due to conflicting conclusions and criticism of the methods employed in previous papers, they contribute to an improvement in our understanding of alternative funds and help to confirm the validity of leading approaches. The aim of this paper is to highlight some specific characteristics of hedge funds and their implications in terms of performance measurement.

Hedge funds, performance, persistence, alpha, beta, models, replication

Abstract:
High-conviction funds, beta-one funds, short extension funds, limited-shorting funds, long-enhanced funds, active extension funds, hedge-fund lite: there is a wide range of terms for what is most frequently called 130/30. Broadly, this strategy initially invests 100% in an index, sells short 30%, and uses the proceeds from the shorts to buy an additional 30% likely to beat the benchmark.

In this paper, we examine some crucial points related to these funds: their theoretical foundation, the optimal level of shorting, the distinction between the quantitative and fundamental approaches, whether these funds are natural extensions of long-only funds, and finally the risk of neglecting their risk.

performance, 130/30, long/short, alpha, shorting