Predicting hedge fund performance when fund returns are skewed
研究发现基金收益的偏斜度反映经理避免大回撤的技能，新指标在危机期间年化风险调整超额收益达5.5%，纠正传统指标对偏斜收益的误判。
Abstract We show that fund‐specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we demonstrate that traditional performance measures underestimate (overestimate) managerial performance when returns exhibit positive (negative) fund‐specific skewness. Our new measure is particularly valuable during periods of economic crisis, when the annual risk‐adjusted outperformance is 5.5%.