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Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases
13 references·7 citing·37 second hop
Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases (2001)Benchmarks of Hedge Fund Performance: Inf…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases (2000)Performance Characteristics o…Measuring the market impact of hedge funds (2000)Measuring the market impact o…Hedge Funds: The Living and the Dead (2000)Hedge Funds: The Living and t…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…A primer on hedge funds (1999)A primer on hedge fundsMultifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics (1998)Multifactor Analysis of Hedge…Survivorship Bias and Investment Style in the Returns of CTAs (1997)Survivorship Bias and Investm…Offshore Hedge Funds: Survival and Performance 1989-1995 (1997)Offshore Hedge Funds: Surviva…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…Survivorship Bias in Performance Studies (1992)Survivorship Bias in Performa…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…Hedge Fund Alpha: Cycle or Sunset? (2020)Hedge Fund Alpha: Cycle or Su…Man vs. Machine: Comparing Discretionary andSystematic Hedge Fund Performance (2017)Man vs. Machine: Comparing Di…Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance (2016)Man vs. Machine: Comparing Di…Do (Some) University Endowments Earn Alpha? (2013)Do (Some) University Endowmen…The Risk of Funds of Hedge Funds: An Empirical Analysis of the Maximum Drawdown (2009)The Risk of Funds of Hedge Fu…Side-by-Side Management of Hedge Funds and Mutual Funds (2009)Side-by-Side Management of He…Do Funds-of-Funds Deserve Their Fees-on-Fees? (2008)Do Funds-of-Funds Deserve The…An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Modern Portfolio Theory and Investment Analysis. (1982)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Moral Hazard and Observability (1979)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Funds and the Technology Bubble (2004)Just How Much Do Individual Investors Lose by Trading? (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Contrarian Investment, Extrapolation, and Risk (1994)On Persistence in Mutual Fund Performance (1997)Multi-Period Performance Persistence Analysis of Hedge Funds (2000)Do Hedge Funds Hedge? (2001)Efficient Capital Markets: II (1991)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)Characteristics of Risk and Return in Risk Arbitrage (2001)Hedge Funds: Performance, Risk, and Capital Formation (2008)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Do Market Timing Hedge Funds Time the Market? (2007)The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2009)Do the Best Hedge Funds Hedge? (2010)High‐Water Marks and Hedge Fund Management Contracts (2003)Share restrictions and asset pricing: Evidence from the hedge fund industry☆ (2006)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)
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References

  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1992Survivorship Bias in Performance Studies1,118 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2000Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases796 cited
  • 2000Hedge Funds: The Living and the Dead621 cited
  • 1997Offshore Hedge Funds: Survival and Performance 1989-1995597 cited
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  • 1998Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics189 cited
  • 2000Measuring the market impact of hedge funds140 cited

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  • 2013Do (Some) University Endowments Earn Alpha?61 cited
  • 2008Do Funds-of-Funds Deserve Their Fees-on-Fees?

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45 cited
  • 2017Man vs. Machine: Comparing Discretionary andSystematic Hedge Fund Performance32 cited
  • 2009Side-by-Side Management of Hedge Funds and Mutual Funds27 cited
  • 2016Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance27 cited
  • 2020Hedge Fund Alpha: Cycle or Sunset?24 cited
  • 2009The Risk of Funds of Hedge Funds: An Empirical Analysis of the Maximum Drawdown21 cited