Gender Differences in Hedge Fund Performance Persistence

16 Pages Posted: 4 Apr 2022 Last revised: 6 Nov 2022

See all articles by William Joseph Klubinski

William Joseph Klubinski

Northumbria University

Thanos Verousis

Vlerick Business School

Fanis Tsoligkas

University of Bath - School of Management

Date Written: March 23, 2022

Abstract

This paper analyses gender differences in hedge fund (HF) performance persistence using parametric and non-parametric risk-adjusted-performance persistence indicators. We find evidence consistent with performance persistence, which in relative (risk-adjusted) terms, is more pronounced amongst females, as opposed to male managers, in short to medium-term horizons. We also, observe a complete loss of persistence for the female managers in the long term, which for the male managers prevails and continues throughout all analysed periods. The findings contribute to the debate on the existence of differences in behaviour across males and females.

Keywords: Hedge funds, performance persistence, gender, risk

JEL Classification: G11, G19

Suggested Citation

Klubinski, William Joseph and Verousis, Thanos and Tsoligkas, Fanis, Gender Differences in Hedge Fund Performance Persistence (March 23, 2022). Available at SSRN: https://ssrn.com/abstract=4064765 or http://dx.doi.org/10.2139/ssrn.4064765

William Joseph Klubinski (Contact Author)

Northumbria University

Newcastle Upon Tyne
Newcastle Upon Tyne, NE1 8ST
United Kingdom

Thanos Verousis

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

Fanis Tsoligkas

University of Bath - School of Management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

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