A Survey of the Literature on Hedge Fund Performance
58 Pages Posted: 4 Dec 2004
Date Written: October 2004
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.
Keywords: Hedge funds, performance measurement, persistence, models
JEL Classification: G12, C14, C19, C29
Suggested Citation: Suggested Citation
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