Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
分析了对冲基金业绩的持续性，考虑了前瞻偏差（多期抽样偏差），通过建模基金清算与历史业绩的关系，并用加权方法消除偏差，发现季度层面存在正向持续性，但年度层面统计显著性较弱。
Abstract We analyze the performance persistence in hedge funds taking into account look-ahead bias (multi-period sampling bias). We model liquidation of hedge funds by analyzing how it depends upon historical performance. Next, we use a weighting procedure that eliminates look-ahead bias in measures for performance persistence. In contrast to earlier results for mutual funds, the impact of look-ahead bias is exacerbated for hedge funds due to their greater level of total risk. At the four-quarter horizon, look-ahead bias can be as much as 3.8%, depending upon the decile of the distribution. We find positive persistence in hedge fund quarterly returns after correcting for investment style. The empirical pattern at the annual level is also consistent with positive persistence, but its statistical significance is weak.