Does Hedge Fund Performance Persist? Overview and New Empirical Evidence
综述了对冲基金业绩持续性的争议，并用新实证证据发现业绩持续性因统计方法和策略而异，且不能被期权策略解释，但部分可由生存偏差和回填偏差解释。
Abstract The contribution of this paper is to provide an overview and new empirical evidence on hedge fund performance persistence, which has been a controversial issue in the academic literature during the last several years. In the first step, we review recent studies and put them into a joint evaluation of hedge fund performance persistence. In the second step, the methodological framework developed in the overview is used to present new empirical evidence. We find different levels of performance persistence depending on the statistical methodology and the hedge fund strategy employed. In our study, performance persistence cannot be explained by the use of option‐like strategies, but it can be partially explained by survivorship and backfilling bias. Differences among hedge fund strategies might be explained by return smoothing. Finally, we develop a rationale for choosing between different methodologies to measure performance persistence and conclude that the multi‐period Kolmogorov‐Smirnov test is the most useful for evaluating performance persistence of hedge funds.