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A Survey of the Literature on Hedge Fund Performance
16 references·0 citing·33 second hop
A Survey of the Literature on Hedge Fund Performance (2004)A Survey of the Literature on Hedge Fund …The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…A Universal Performance Measure (2002)A Universal Performance Measu…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Hedge Fund Performance and Manager Skill (2001)Hedge Fund Performance and Ma…Do Hedge Funds Hedge? (2001)Do Hedge Funds Hedge?Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Multi-Period Performance Pers…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Offshore Hedge Funds: Survival and Performance 1989-1995 (1997)Offshore Hedge Funds: Surviva…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…"General Intelligence," Objectively Determined and Measured (1904)"General Intelligence," Objec…Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresOn estimating the expected return on the market (1980)The Econometrics of Financial Markets (1997)High Frequency Trading and the New-Market Makers (2012)The Econometrics of Financial Markets (2012)Can ChatGPT forecast stock price movements? Return predictability and large language models (2026)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Performance of Mutual Funds in the Period 1945-1964 (1968)The Pricing of Options and Corporate Liabilities (1973)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Fund Benchmarks: A Risk-Based Approach (2004)The Strategic and Tactical Value of Commodity Futures (2006)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Norm theory: Comparing reality to its alternatives. (1986)Working memory span tasks: A methodological review and user’s guide (2005)Evidence for a Collective Intelligence Factor in the Performance of Human Groups (2010)Multifactor Explanations of Asset Pricing Anomalies (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1904"General Intelligence," Objectively Determined and Measured6,205 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2002The Statistics of Sharpe Ratios842 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2000Multi-Period Performance Persistence Analysis of Hedge Funds600 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
  • 2002A Universal Performance Measure590 cited
  • 2001Do Hedge Funds Hedge?523 cited
  • 2001

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Hedge Fund Performance and Manager Skill
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