Recent Advances in Hedge Funds' Performance Attribution: Performance Persistence and Fundamental Factors
50 Pages Posted: 18 Nov 2015
Date Written: October 29, 2015
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: Suggested Citation