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

Dimitrios Stafylas, Keith Anderson, Moshfique Uddin

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)48-61
Number of pages14
JournalInternational Review of Financial Analysis
Volume43
Early online date30 Nov 2015
DOIs
Publication statusPublished - Jan 2016

Bibliographical note

© 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • hedge funds
  • performance
  • persistence
  • fundamental factors
  • risk exposures

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