The Sustainability in Hedge Fund Performance: New Insights

41 Pages Posted: 13 Jul 2007

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

Date Written: July 2007


This study analyses and decomposes hedge fund returns in order to determine a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform equity and bond indices over a full market cycle and over bull and bear market conditions. The methodology used is adapted from Capocci and Hübner (2004). The measures used include the returns, volatility, Sharpe score, alpha, beta, skewness and kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha as well as consistently and significantly outperforming classical indices.

Keywords: Hedge fund, return, performance, persistence, sustainability, volatility Sharpe score, alpha, beta, skewness, kurtosis

JEL Classification: G20, G11, G15

Suggested Citation

Capocci, PhD - CAIA, Daniel P.J. and Capocci, PhD - CAIA, Daniel P.J., The Sustainability in Hedge Fund Performance: New Insights (July 2007). Available at SSRN: or

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

HEC - Université de Liège ( email )

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Luxembourg School of Finance ( email )

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Edhec Risk and Management Research Center ( email )

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