Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions
研究发现对冲基金在弱市后业绩具有持续性，强市后则无；基于弱市表现构建的指标可预测未来三年业绩，高低组年化差异约7%。
We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets but is not persistent following strong markets. Specifically, we construct two performance measures, RET_DOWN and RET_UP, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest RET_DOWN quintile outperform funds in the lowest quintile by approximately 7% in the subsequent year, whereas funds with better RET_UP do not outperform subsequently. The RET_DOWN measure can predict future fund performance over a horizon as long as 3 years, for both winners and losers and for funds with few share restrictions.