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Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factors

Author

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  • Stafylas, Dimitrios
  • Anderson, Keith
  • Uddin, Moshfique

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.

Suggested Citation

  • Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2016. "Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factors," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 48-61.
    • Handle: RePEc:eee:finana:v:43:y:2016:i:c:p:48-61
    DOI: 10.1016/j.irfa.2015.11.001
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    Cited by:

    1. Leonardo Badea & Daniel Ştefan Armeanu & Iulian Panait & Ştefan Cristian Gherghina, 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
    2. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    3. Amaral, Fatima & Reis, Pedro & Pinto, Pedro, 2019. "Evaluating investment fund performance in Portugal," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 15(2).

    More about this item

    Keywords

    Hedge funds; Performance persistence; Fundamental factors; Risk exposures;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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