The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
The Performance of Hedge Funds: Risk, Return, and Incentives
Abstract
Hedge funds display several interesting characteristics that may influence performance, including: flexible investment strategies, strong managerial incentives, substantial managerial investment, sophisticated investors, and limited government oversight. Using a large sample of hedge fund data from 1988–1995, we find that hedge funds consistently outperform mutual funds, but not standard market indices. Hedge funds, however, are more volatile than both mutual funds and market indices. Incentive fees explain some of the higher performance, but not the increased total risk. The impact of six data‐conditioning biases is explored. We find evidence that positive and negative survival‐related biases offset each other.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Sharpe, W. F. (1966) · The Journal of Business · doi:10.1086/294846 · Cited by 3,937
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
Just how much do individual investors lose by trading?
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn046 · Cited by 953
The Statistics of Sharpe Ratios
Lo, A. W. (2002) · Financial Analysts Journal · doi:10.2469/faj.v58.n4.2453 · Cited by 843
Role of Managerial Incentives and Discretion in Hedge Fund Performance
AGARWAL, V., DANIEL, N. D., & NAIK, N. Y. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01499.x · Cited by 688
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆
KOSOWSKI, R., NAIK, N., & TEO, M. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.12.009 · Cited by 594
Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
Brown, S. J., Goetzmann, W. N., & Park, J. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00392 · Cited by 474
Metadata
- Authors
- Ackermann, C., McEnally, R., & Ravenscraft, D.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1999-06
- Volume
- 54
- Issue
- 3
- Pages
- 833-874
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2107539208
- Cited by
- 1,101
- References
- 4
- FWCI
- 47.17
- Type
- journal article
- Language
- en
- Open access
- closed
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