Stafylas, D, Anderson, K and Uddin, M (2016) Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factors. International Review of Financial Analysis, 43. 48 - 61. ISSN 1057-5219
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.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2015, Elsevier Ltd. This is an author produced version of a paper published in International Review of Financial Analysis. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | hedge funds, performance persistence, fundamental factors, risk exposures |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 15 Dec 2015 13:49 |
Last Modified: | 18 Jul 2017 16:56 |
Published Version: | http://dx.doi.org/10.1016/j.irfa.2015.11.001 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.irfa.2015.11.001 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:92819 |