Hedge Funds: Performance, Risk, and Capital Formation
利用1995至2004年基金中的基金数据，发现平均而言只有1998年10月至2000年3月期间能产生超额收益，但部分基金持续产生超额收益，这些基金更不易清算且资本流入更多，但资本流入会削弱其未来产生超额收益的能力。
ABSTRACT We use a comprehensive data set of funds‐of‐funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund‐of‐funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds‐of‐funds consistently delivers alpha. The alpha‐producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts. These capital inflows attenuate the ability of the alpha producers to continue to deliver alpha in the future.