Persistent Doubt: An Examination of Hedge Fund Performance
研究对冲基金业绩是否持续存疑，发现基于夏普比率和信息比率构建的投资组合业绩持续但可疑，而基于超额抗操纵业绩指标的业绩更温和且存疑较少。
We examine whether performance persistence is suspicious. Top quintile portfolios formed on the Sharpe ratio, alpha, and information ratio persistently outperform similarly constructed mediocre third quintile portfolios throughout our sample period, but performance is more modest and less persistent when portfolios are formed on the excess manipulation-proof performance measure (EMPPM). By selecting funds formed on ranking by Sharpe and information ratios, investors also select funds that have persistently doubtful performance according to the doubt ratio. In contrast, portfolios formed on alphas and especially the EMPPM have much less excess and persistent doubt.