Detecting performance persistence in fund managers

Journal of Portfolio Management

Volumn 33, Issue 2, 2007, Pages 110-119

  Aggarwal, Rajesh K ^a   Georgiev, Galin ^b   Pinato, Jake ^c  

^a UNIVERSITY OF MINNESOTA   (United States)

^b Pacific Alternative Asset Management Company   (United States)

^c Provident Group and Longship Capital   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33947164683     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2007.674797     Document Type: Article

References (9)

1. Agarwal, V., and N. Naik. "Multi-Period Performance Persistence Analysis of Hedge Funds." Journal of Financial and Quantitative Analysis, 35 (2001), pp. 327-342.
2. Amenc, N., S. El Bied, and L.Martellini."Predictability in Hedge Fund Returns." Financial Analysts Journal, 59 (2003), pp. 32-46.
3. Brown, S., W. Goetzmann, and R. Ibbotson. "Offshore Hedge Funds: Survival and Performance 1989-1995." Journal of Business, 72 (1999), pp. 91-117.
4. Edwards, F., and M. Caglayan. "Hedge Fund Performance and Manager Skill." Journal of Futures Markets, 21 (2001), pp. 1003-1028.
5. Fung, W., and D. Hsieh. "Hedge Fund Benchmarks: A Risk-based Approach." Financial Analysts Journal, 60 (2004), pp. 65-80.
6. Jagannathan, R.,A. Malakhov, and D. Novikov."Do Hot Hands Persist Among Hedge Fund Managers? An Empirical Evaluation." NBER Working Paper 12015, 2006.
7. Kat, H., and F. Menexe. "Persistence in Hedge Fund Performance: The True Value of a Track Record." Journal of Alternative Investments, 5 (2003), pp. 66-72.
8. Schneeweis, T., H. Kazemi, and G. Martin. "Understanding Hedge Fund Performance: Research Issues Revisited - Part I." Journal of Alternative Investments, 4 (2002), pp. 6-22.
9. _. "Understanding Hedge Fund Performance: Research Issues Revisited - Part II." Journal of Alternative Investments, 5 (2003), pp. 8-30.