A Survey of the Literature on Hedge Fund Performance

58 Pages Posted: 4 Dec 2004

See all articles by Walter Géhin

Walter Géhin

EDHEC Business School - EDHEC Risk and Asset Management Research Centre

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

Géhin, Walter, A Survey of the Literature on Hedge Fund Performance (October 2004). Available at SSRN: https://ssrn.com/abstract=626441 or http://dx.doi.org/10.2139/ssrn.626441

Walter Géhin (Contact Author)

EDHEC Business School - EDHEC Risk and Asset Management Research Centre ( email )

58 rue du Port
Lille, 59046
France

Register to save articles to
your library

Register

Paper statistics

Downloads
1,441
Abstract Views
4,076
rank
12,387
PlumX Metrics