The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather than a Pandora's Box

61 Pages Posted: 24 Nov 2006

See all articles by Walter Géhin

Walter Géhin

EDHEC Business School - EDHEC Risk and Asset Management Research Centre

Date Written: November 2006

Abstract

This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this subject. About 50 publications in the most famous journals and working papers written by recognized authors have been selected to provide a dynamic and comprehensive view of the improvements in hedge fund performance measurement. The issue of performance measurement in the hedge fund industry has led to literature that is both abundant and controversial. The explanation of 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 our understanding of alternative funds and help to confirm the validity of leading approaches. The aim of this paper is to highlight some specific characteristics of hedge funds and their implications in terms of performance measurement.

Keywords: Hedge funds, performance, persistence, alpha, beta, models, replication

JEL Classification: G12, C14, C19, C29

Suggested Citation

Géhin, Walter, The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather than a Pandora's Box (November 2006). Available at SSRN: https://ssrn.com/abstract=946928 or http://dx.doi.org/10.2139/ssrn.946928

Walter Géhin (Contact Author)

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

58 rue du Port
Lille, 59046
France

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