An Analysis of Hedge Fund Performance

Posted: 15 Apr 2003

See all articles by Daniel P.J. Capocci

Daniel P.J. Capocci

HEC - Université de Liège; Architas Multi-Management Ltd; Luxembourg School of Finance; Edhec Risk and Management Research Center

Georges Hübner

HEC Liège


Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of Carhart's (1997) specification combined with the Fama and French (1998) and Agarwal and Naik (2002) models and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets. This addition is particularly suitable for more than half of the hedge funds categories, and for all funds in general. The performance of hedge funds for several individual strategies and different subperiods, including the Asian Crisis period, indicates limited evidence of persistence in performance but not for extreme performers.

Keywords: Hedge funds, performance, persistence, Asian crisis, emerging markets, CAPM, dissolution frequenties, survivorship bias, correlation, history bias, total returns

JEL Classification: G2, G11, G15

Suggested Citation

Capocci, PhD - CAIA, Daniel P.J. and Capocci, PhD - CAIA, Daniel P.J. and Hübner, Georges, An Analysis of Hedge Fund Performance. Available at SSRN:

Daniel P.J. Capocci, PhD - CAIA (Contact Author)

HEC - Université de Liège ( email )

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Architas Multi-Management Ltd ( email )

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Luxembourg School of Finance ( email )

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Georges Hübner

HEC Liège ( email )

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Liege, 4000
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