An Overview of Hedge Funds Performance Persistence

Abstract

This paper examines in detail the literature review of hedge funds performance using a sample of 773 hedge funds from the period January 1990 to January 2003. The sample is free of survivorship bias, self-selection and backfill bias. Performance persistence in the investment literature was a major area of investigation for both academics and practitioners for more than 2 decades. This article provides a detailed analysis of performance persistence using data from the Alternative Asset Center (AAC). It was formed in July 1999 as an independent publishing company for hedge funds and in 2006 Barclay hedge acquired the AAC database. We derived to the conclusion that the results are mixed due to alphas, contingency tables and Spearman rank correlation tests based on quintiles. We found short-term performance persistence over one year period and not long-term performance persistence.