Performance persistence and the source of returns for hedge funds

References

• Ackerman , C , McEnally , R and Ravenscraft , D . 1999 . The performance of hedge funds: risk, return and incentives . Journal of Finance , 54 : 833 – 74 .
   Web of Science ®Google Scholar
• Agarwal , V and Naik , NY . 2000a . Multi-period performance persistence analysis of hedge funds . Journal of Financial and Quantitative Analysis , 35 : 327 – 42 .
   Web of Science ®Google Scholar
• Agarwal , V and Naik , NY . 2000b . On taking the ‘alternative’ route: risks, rewards style and performance persistence of hedge funds . Journal of Alternative Investments , 2 : 6 – 23 .
   Google Scholar
• Brown SJ Goetzmann WN 2001 Hedge funds with style, Working Paper No. 00-29, Yale International Center for Finance (available at: http://papers.ssrn.com/paper.tuf? abstract_ID = 261068)
   Google Scholar
• Brown , SJ , Goetzmann , WN and Ibbotson , RG . 1999 . Offshore hedge funds: survival & performance 1989–1995 . Journal of Business , 72 : 91 – 117 .
   Web of Science ®Google Scholar
• Brown , SJ , Goetzmann , WN and Park , J . 1997 . Conditions for survival: changing risk and the performance of hedge fund managers and CTAs . Review of Financial Studies , 5 : 553 – 80 .
   Google Scholar
• Caldwell T 1995 Introduction: the model for superior performance in J. Lederman and R. A. Klein (Eds) Hedge Funds: Investment and Portfolio Strategies for the Institutional Investor, McGraw-Hill New York
   Google Scholar
• Capocci DPJ 2002 An analysis of hedge fund performance 1984-2000 Working Paper, University of Leige (available at http://ssrn.com)
   Google Scholar
• Connolly , RA . 1991 . A posterior odds analysis of the weekend effect . Journal of Econometrics , 49 : 51 – 104 .
   Web of Science ®Google Scholar
• Faff , RW and Hallahan , TA . 2001 . Induced persistence or reversals in fund performance?: the effect of survivorship bias . Applied Financial Economics , 11 : 119 – 26 .
   Google Scholar
• Fung , W and Hsieh , DA . 1997 . Empirical characteristics of dynamic trading strategies: the case of hedge funds . The Review of Financial Studies , 10 : 275 – 302 .
   Web of Science ®Google Scholar
• Fung , W and Hsieh , DA . 2000 . Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases . Journal of Financial and Quantitative Analysis , 35 : 291 – 307 .
   Web of Science ®Google Scholar
• Kat HM Amin GS 2001 Welcome to the dark side: hedge fund attrition and survivorship bias over the period 1994–2001 Working Paper The University of Reading Reading UK (available at http://ssrn.com)
   Google Scholar
• Liang , B . 1999 . On the performance of hedge funds . Financial Analysts Journal , 55 : 72 – 85 .
   Google Scholar
• Liang , B . 2000 . Hedge funds: the living and the dead . Journal of Financial and Quantitative Analysis , 35 : 309 – 26 .
   Web of Science ®Google Scholar
• McCloskey , DN and Ziliak , ST . 1996 . The standard error of regressions . Journal of Economic Literature , 34 : 97 – 114 .
   Web of Science ®Google Scholar
• Newey , WK and West , KD . 1987 . A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 8 .
   Web of Science ®Google Scholar
• Pacelle M 1998 Bull market has a bumper crop: hedge funds Wall Street Journal 5 June, C1, C15
   Google Scholar
• Park JM Staum JC 1998 Performance persistence in the alternative investment industry PARADIGM Capital Management, Inc. unpublished manuscript
   Google Scholar
• Richter , FG-C and Brorsen , BW . 2000 . Estimating fees for managed futures: a continuous-time model with a knockout feature . Applied Mathematical Finance , 7 : 115 – 35 .
   Google Scholar
• Sharpe , WF . 1992 . Asset allocation: management style and performance measurement . Journal of Portfolio Management , 18 : 7 – 19 .
   Web of Science ®Google Scholar
• Strachman DA 2000 Getting Started in Hedge Funds, Wiley New York
   Google Scholar