The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions
调整了价格滞后、Fama-French风险因子和偏度后重新估计对冲基金绩效，发现1990-2003年间所有基金类别相对市场指数表现优于平均，但个体层面仅40-47%的基金表现优于平均，对投资者选择基金经理有重要启示。
Abstract We present hedge fund performance estimates that adjust for stale prices, Fama‐French risk factors and skewness. We contrast these new performance estimates with traditional performance measures. Using three‐factor models to adjust for staleness in prices and to incorporate Fama‐French factors along with the Harvey‐Siddique (2000) two‐factor model that incorporates skewness, we find that for the period 1990–2003, all hedge fund categories achieve above average performance when measured against an aggregate market index. More significantly, however, when we estimate performance at the individual hedge fund level, we discover that only 40 to 47% of the funds are shown to achieve an above average performance over that time period depending on the model used. These results have important implications for investors, endowments and pensions when they choose hedge fund managers.