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Financial Analysts Journal Volume 66, 2010 - Issue 2
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Alternative Investments

Hidden Survivorship in Hedge Fund Returns

Rajesh K. Aggarwal Rajesh K. Aggarwal is the U.S. Bancorp Professor in Financial Markets and Institutions at the Carlson School of Management, University of Minnesota, Minneapolis.
&
Philippe Jorion Philippe Jorion is the Chancellor’s Professor of Finance at the Paul Merage School of Business, University of California, Irvine, and a managing director at Pacific Alternative Asset Management Company, Irvine, California.
Pages 69-74 | Published online: 31 Dec 2018

References

  • Aggarwal, Rajesh K., and Philippe Jorion. 2009. “The Risk of Emerging Hedge Fund Managers.” Journal of Investing, vol. 18, no. 1 (Spring): 100–10710.3905/JOI.2009.18.1.100.
  • Aggarwal, Rajesh K., and Philippe Jorion. Forthcoming. “The Performance of Emerging Hedge Funds and Managers.” Journal of Financial Economics.
  • Baquero, Guillermo, Jenke ter Horst, and Marno Verbeek. 2005. “Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance.” Journal of Financial and Quantitative Analysis, vol. 40, no. 3 (September): 493–51710.1017/S0022109000001848.
  • Brown, Steve, and William Goetzmann. 1995. “Performance Persistence.” Journal of Finance, vol. 50, no. 2 (June): 679–69810.2307/2329424.
  • Carhart, Mark M., Jennifer N. Carpenter, Anthony W. Lynch, and David K. Musto. 2002. “Mutual Fund Survivorship.” Review of Financial Studies, vol. 15, no. 5 (Winter): 1439–146310.1093/rfs/15.5.1439.
  • Fung, William, and David A. Hsieh. 2000. “Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases.” Journal of Financial and Quantitative Analysis, vol. 35, no. 3 (September): 291–30710.2307/2676205.
  • Fung, William, and David A. Hsieh. 2009. “Measurement Biases in Hedge Fund Performance Data: An Update.” Financial Analysts Journal, vol. 65, no. 3 (May/June): 36–3810.2469/faj.v65.n3.6.
  • 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.
  • 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.

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