The Performance of Hedge Funds: Risk, Return, and Incentives
利用1988-1995年的大样本数据，发现对冲基金业绩优于共同基金但不及市场指数，波动性更高，激励费部分解释了高业绩但非高风险，并探讨了六种数据偏差的影响。
Hedge funds display several interesting characteristics that may influence performance, including: flexible investment strategies, strong managerial incentives, substantial managerial investment, sophisticated investors, and limited government oversight. Using a large sample of hedge fund data from 1988–1995, we find that hedge funds consistently outperform mutual funds, but not standard market indices. Hedge funds, however, are more volatile than both mutual funds and market indices. Incentive fees explain some of the higher performance, but not the increased total risk. The impact of six data‐conditioning biases is explored. We find evidence that positive and negative survival‐related biases offset each other.