Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factors |
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| Affiliation: | 1. The York Management School, University of York, Freboys Lane, Heslington, York YO10 5GD, England;2. Leeds University Business School, Maurice Keyworth Building, University of Leeds, Moorland Road, Leeds LS6 1AN, England;1. DCU Business School, Dublin City University, Ireland;2. ESC Rennes School of Business, France;3. Queen''s Management School, Queen''s University Belfast, UK;1. Finance group at D''Amore-McKim School of Business, Northeastern University, 360 Huntington Avenue, Boston, MA 02115, USA;2. Peking University HSBC Business School, Shenzhen, Guangdong 518055, China;3. University of Alabama, Culverhouse College of Business, Box 870224, Tuscaloosa, AL 34587, USA;4. Carroll School of Management, Boston College, 140 Commonwealth Avenue, Chestnut Hill, MA 02467, USA;5. University of Central Florida, College of Business, Box 161400, Orlando FL 32816, USA;1. School of Accounting and Finance, University of Waterloo, 200 University Avenue West, Waterloo, Ontario, N2L 3G1, Canada;2. Trulaske College of Business, University of Missouri, 403B Cornell Hall, Columbia, MO, 65244-2600, USA;3. University of Cambridge, Trumpington Street, Cambridge CB2 1AG, UK |
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| Abstract: | We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds. |
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