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Financial Analysts Journal Volume 65, 2009 - Issue 3
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Perspectives

Measurement Biases in Hedge Fund Performance Data: An Update

William Fung William Fung is visiting research professor at the BNP-Paribas Hedge Fund Centre, London Business School.
&
David A. Hsieh David A. Hsieh is professor of finance at the Fuqua School of Business, Duke University, Durham, North Carolina.
Pages 36-38 | Published online: 31 Dec 2018

References

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  • Agarwal, Vikas, Naveen D. Daniel, and Narayan Y. Naik Forthcoming.. “Role of Managerial Incentives and Discretion in Hedge Fund Performance.” Journal of Finance (www.afajof.org/afa/forthcoming/3941.pdf).
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  • Brown, Stephen J., William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross. 1992. “Survivorship Bias in Performance Studies.” Review of Financial Studies, vol. 5, no. 4 (Winter): 553–58010.1093/rfs/5.4.553.
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  • Kosowski, Robert, Narayan Y. Naik, and Melvyn Teo. 2007. “Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis.” Journal of Financial Economics, vol. 84, no. 1 (April): 229–26410.1016/j.jfineco.2005.12.009.
  • Liang, Bing. 2000. “Hedge Funds: The Living and the Dead.” Journal of Financial and Quantitative Analysis, vol. 35, no. 3 (September): 309–32610.2307/2676206.
  • Malkiel, Burton G., and Atanu Saha. 2005. “Hedge Funds: Risk and Return.” Financial Analysts Journal, vol. 61, no. 6 (November/December): 80–8810.2469/faj.v61.n6.2775.
  • Park, James. 1995. “Managed Futures as an Investment Asset.” PhD dissertation, Columbia University.
  • Posthuma, Nolke, and Pieter Jelle van der Sluis. 2003. “A Reality Check on Hedge Funds Returns.” Working paper (8 July): http://papers.ssrn.com/sol3/papers.cfm?abstract_id=438840.

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