Recent Advances in Hedge Funds' Performance Attribution: Performance Persistence and Fundamental Factors

50 Pages Posted: 18 Nov 2015

See all articles by Dimitrios Stafylas

Dimitrios Stafylas

Aston University - Aston Business School

Keith P. Anderson

The York Management School

Muhammad Moshfique Uddin

University of Leeds - Division of Management

Date Written: October 29, 2015

Abstract

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds.

Keywords: hedge funds, performance persistence, fundamental factors, risk exposures

JEL Classification: G110

Suggested Citation

Stafylas, Dimitrios and Anderson, Keith P. and Uddin, Muhammad Moshfique, Recent Advances in Hedge Funds' Performance Attribution: Performance Persistence and Fundamental Factors (October 29, 2015). International Review of Financial Analysis, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2692005

Dimitrios Stafylas

Aston University - Aston Business School ( email )

Aston Triangle
Birmingham, B47ET
United Kingdom

Keith P. Anderson (Contact Author)

The York Management School ( email )

York YO10 5DD
United Kingdom

Muhammad Moshfique Uddin

University of Leeds - Division of Management ( email )

United Kingdom

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