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Applied Financial Economics Volume 14, 2004 - Issue 2
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Original Articles

Performance persistence and the source of returns for hedge funds

A. Harri Department of Agricultural Economics, Oklahoma State University, Stillwater, OK 74078-6026, USA
&
B. W. Brorsen Department of Agricultural Economics, Oklahoma State University, Stillwater, OK 74078-6026, USA
Pages 131-141 | Published online: 21 Aug 2006

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David Forsberg, David R. Gallagher & Geoffrey J. Warren. (2021) Identifying Hedge Fund Skill by Using Peer Cohorts. Financial Analysts Journal 77:2, pages 97-123.
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Dimitrios Stafylas, Keith Anderson & Moshfique Uddin. (2018) Hedge fund index-engineering methodologies: a comparison and demonstration. Applied Economics 50:6, pages 596-612.
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Junesuh Yi & Kwanghee Cho. (2015) Performance of Technology Sector Hedge Funds in Emerging Markets. Emerging Markets Finance and Trade 51:5, pages 985-1000.
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Shang-Ling Ou, Li-yu Daisy Liu & Yih-Chang Ou. (2014) Using a genetic algorithm-based RAROC model for the performance and persistence of the funds. Journal of Applied Statistics 41:5, pages 929-943.
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B. Cao & S. A. Jayasuriya. (2011) Market volatility and hedge fund returns in emerging markets. Applied Financial Economics 21:22, pages 1691-1701.
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Peter Kugler, Jacqueline Henn-Overbeck & Heinz Zimmermann. (2010) Style consistency of hedge fund indexes across providers. Applied Financial Economics 20:5, pages 355-369.
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Paolo Capelli, Francesca Mariani, Maria Cristina Recchioni, Fabio Spinelli & Francesco Zirilli. (2010) Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood. Inverse Problems in Science and Engineering 18:1, pages 83-109.
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Laura Andreu, Cristina Ortiz & José Luis Sarto. (2009) Herding behaviour in strategic asset allocations: new approaches on quantitative and intertemporal imitation. Applied Financial Economics 19:20, pages 1649-1659.
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Luis Ferruz, Fernando Gómez-Bezares & María Vargas. (2009) Performance measures: advantages of linear risk penalization. Applied Financial Economics 19:1, pages 73-85.
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Andrea Beltratti & Claudio Morana. (2008) Aggregate hedge funds’ flows and returns. Applied Financial Economics 18:21, pages 1755-1764.
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Nicole M. Boyson. (2008) Hedge Fund Performance Persistence: A New Approach. Financial Analysts Journal 64:6, pages 27-44.
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Syouching Lai & Hungchih Li. (2008) The performance evaluation for fund of funds by comparing asset allocation of mean–variance model or genetic algorithms to that of fund managers. Applied Financial Economics 18:6, pages 485-501.
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Laura Andreu, Luis Ferruz, Jose Luis Sarto & Luis Vicente. (2007) Análisis de la persistencia en rentabilidad de los FIAMM y de los determinantes de sus comisiones. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 36:136, pages 689-706.
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Luis Vicente & Luis Ferruz. (2005) Performance persistence in Spanish equity funds. Applied Financial Economics 15:18, pages 1305-1313.
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Articles from other publishers (54)

Daniela Catan. (2021) The Nexus Between Hedge Fund Size and Risk-Adjusted Performance. Studia Universitatis Babes-Bolyai Oeconomica 66:3, pages 40-56.
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Waldemar Aspadarec. (2021) Quasi-hedge funds market in Poland in view of their performance persistence. Investment Management and Financial Innovations 18:3, pages 82-93.
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William Joseph Klubinski & Thanos Verousis. 2021. Financial Risk Management and Modeling. Financial Risk Management and Modeling 265 293 .
Dimitrios Stafylas & Athanasios Andrikopoulos. (2020) Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in International Business and Finance 52, pages 101130.
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Bonolo Maggie Thobejane, Beatrice D. Simo-Kengne & John W. Muteba Mwamba. (2017) Performance evaluation of equity unit trusts in South Africa. Managerial Finance 43:3, pages 379-402.
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Florian Böhlandt, Eon Smit & Niel Krige. (2016) Classifying Single-Manager Hedge Funds: Some New Insights . The Journal of Alternative Investments 19:2, pages 38-61.
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Benjamin R Auer. (2016) Pure return persistence, Hurst exponents and hedge fund selection – A practical note. Journal of Asset Management 17:5, pages 319-330.
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Kevin R. Mirabile. 2016. Hedge Fund Investing. Hedge Fund Investing 319 333 .
Claudio Boido & Antonio Fasano. (2016) Traditional and Alternative Risk: Application to Hedge Fund Returns. Financial Assets and Investing 7:1, pages 5-33.
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Samuel Manser & Markus M. Schmid. 2016. Derivatives and Hedge Funds. Derivatives and Hedge Funds 218 239 .
Dimitrios Stafylas, Keith Anderson & Moshfique Uddin. (2016) Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factors. International Review of Financial Analysis 43, pages 48-61.
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Harlan Platt, Licheng Cai & Marjorie Platt. (2015) The Impact of New Capital on Hedge Fund Returns. The Journal of Investing 24:4, pages 27-33.
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Pavitra Kumar. (2015) Hedge Fund Characteristics and Performance Persistence: Evidence from 1996–2006. Quarterly Journal of Finance 05:02, pages 1550018.
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Rania Hentati-Kaffel & Philippe de Peretti. (2015) Detecting performance persistence of hedge funds. Economic Modelling 47, pages 185-192.
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Jenke ter Horst & Galla Salganik. (2014) Style chasing by hedge fund investors. Journal of Banking & Finance 39, pages 29-42.
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Hooi Hooi Lean, Wei Rong Ang & Russell Smyth. 2014. Handbook of Asian Finance. Handbook of Asian Finance 377 392 .
Manuel Ammann, Otto Huber & Markus Schmid. (2010) Hedge Fund Characteristics and Performance Persistence. European Financial Management 19:2, pages 209-250.
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David Edmund Allen, Akhmad Kramadibrata, Robert John Powell & Abhay Kumar Singh. 2013. Reconsidering Funds of Hedge Funds. Reconsidering Funds of Hedge Funds 261 272 .
Szabolcs Blazsek. 2013. Reconsidering Funds of Hedge Funds. Reconsidering Funds of Hedge Funds 229 259 .
. 2012. Hedge Fund Investing. Hedge Fund Investing 231 253 .
. 2012. Hedge Fund Investing. Hedge Fund Investing 37 67 .
Khaled Abdou & Mahdi Nasereddin. (2011) The persistence of hedge fund strategies in different economic periods: A support vector machine approach. Journal of Derivatives & Hedge Funds 17:1, pages 2-15.
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Viet Do, Robert Faff & Madhu Veeraraghavan. (2010) Performance persistence in hedge funds: Australian evidence. Journal of International Financial Markets, Institutions and Money 20:4, pages 346-362.
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LAURA ANDREU, LUIS FERRUZ & LUIS VICENTE. (2007) The importance of asset allocation in Spanish equity pension plans. Journal of Pension Economics and Finance 9:1, pages 129-142.
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Eero J Pätäri & Jussi Tolvanen. (2009) Chasing performance persistence of hedge funds – Comparative analysis of evaluation techniques. Journal of Derivatives & Hedge Funds 15:3, pages 223-240.
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Roland Füss, Dieter G Kaiser & Anthony Strittmatter. (2009) Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter? . The Journal of Alternative Investments 12:2, pages 41-53.
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Samuel Manser & Markus M Schmid. (2009) The performance persistence of equity long/short hedge funds. Journal of Derivatives & Hedge Funds 15:1, pages 51-69.
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Martin Eling. (2009) Does Hedge Fund Performance Persist? Overview and New Empirical Evidence. European Financial Management 15:2, pages 362-401.
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Paul Lajbcygier & Eric Shen. (2008) Incentives for asset growth: The different causes of monthly in-flows and out-flows of surviving managed futures funds. Journal of Derivatives & Hedge Funds 13:4, pages 287-303.
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Luis Ferruz, Luis Vicente & Laura Andreu. (2007) Performance Persistence of Spanish Pension Funds: The Best Winners and Losers Usually Repeat. The Geneva Papers on Risk and Insurance - Issues and Practice 32:4, pages 583-594.
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Lewis T. CunninghamIIIIII, B. Wade Brorsen & Kim B. Anderson. (2007) Cash Marketing Styles and Performance Persistence. American Journal of Agricultural Economics 89:3, pages 624-636.
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Rosmah Mat Isa & Rashid Ameer. (2007) Hedge fund performance and managerial social capital. The Journal of Risk Finance 8:3, pages 246-259.
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L. Fatone, F. Mariani, M. C. Recchioni & F. Zirilli. (2007) Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds. Journal of Inverse and Ill-posed Problems 15:5.
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Cécile Le Moigne & Patrick Savaria. (2006) Relative importance of hedge fund characteristics. Financial Markets and Portfolio Management 20:4, pages 419-441.
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Martin Eling. (2008) Does Hedge Fund Performance Persist? Overview and New Empirical Evidence. SSRN Electronic Journal.
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Walter Géhin. (2006) The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather Than a Pandora's Box. SSRN Electronic Journal.
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Walter Géhin. (2004) A Survey of the Literature on Hedge Fund Performance. SSRN Electronic Journal.
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Javier Vidal-García & Marta Vidal. (2022) Strategic Convergence in the Mutual Fund Industry. SSRN Electronic Journal.
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William Joseph Klubinski, Thanos Verousis & Fanis Tsoligkas. (2022) Gender Differences in Hedge Fund Performance Persistence. SSRN Electronic Journal.
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David Forsberg, David R. Gallagher & Geoffrey J. Warren. (2017) Relative Hedge Fund Skill and the Informativeness of Cohort Alpha. SSRN Electronic Journal.
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Dirk Broeders, Arco <!>van Oord & David R. Rijsbergen. (2017) Does it Pay to Pay Performance Fees? Empirical Evidence from Dutch Pension Funds. SSRN Electronic Journal.
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Dimitrios Stafylas, Keith P. Anderson & Muhammad Moshfique Uddin. (2015) Issues in Hedge Fund Index Engineering: A Comparison and Demonstration. SSRN Electronic Journal.
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Jingzhong Zhang. (2015) Hedge Fund Portfolio Strategy Based on Performance Persistence and Portfolio Theory. SSRN Electronic Journal.
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Davide Digioia. (2013) An Investigation into the Difference between Qualitative and Quantitative Analysis of Mutual and Hedge Funds. SSRN Electronic Journal.
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Claudio Boido & Antonio Fasano. (2014) Traditional and Alternative Risk: An Application to Hedge Fund Returns. SSRN Electronic Journal.
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Paul Lajbcygier & Joe Rich. (2014) Do Incentive Fees Signal Skill? Evidence from the Hedge Fund Industry. SSRN Electronic Journal.
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Benoit Dewaele. (2013) Leverage and Alpha: The Case of Funds of Hedge Funds. SSRN Electronic Journal.
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Benoit Dewaele. (2012) Portfolio Optimization for Hedge Funds Through Time-Varying Coefficients. SSRN Electronic Journal.
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Manuel Ammann, Otto R. Huber & Markus M. Schmid. (2010) Hedge Fund Characteristics and Performance Persistence. SSRN Electronic Journal.
Crossref
Viet Minh Do, Robert W. Faff & Madhu Veeraraghavan. (2010) Performance Persistence in Hedge Funds: Australian Evidence. SSRN Electronic Journal.
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Jenke R. ter Horst & Galla Salganik. (2012) Style Chasing by Hedge Fund Investors. SSRN Electronic Journal.
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Jenke R. ter Horst & Galla Salganik. (2012) Style Chasing by Hedge Fund Investors. SSRN Electronic Journal.
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Samuel Manser & Markus M. Schmid. (2008) The Performance Persistence of Equity Long/Short Hedge Funds. SSRN Electronic Journal.
Crossref

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