The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Hedge Fund Performance: 1990–1999
Abstract
Using a large database, I studied hedge fund performance and risk during an almost 10-year period from 1990 to mid-1999. The empirical results show that hedge funds had an annual return of 14.2 percent in this period, compared with 18.8 percent for the S&P 500 Index. The S&P 500 is much more volatile, however, than hedge funds as a whole. Annual survivorship bias for hedge funds was 2.43 percent. I examined year 1998 in detail because hedge funds were heavily affected by the global financial market tumble in that year. For example, the highest volatility for hedge fund returns occurred in 1998, and more funds died and fewer were born in 1998 than in any other year of the period studied. Few funds changed their fee structures. In those that did, the fee changes were performance related; poor performers lowered their incentive fees.
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Citations
Cites
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
The Statistics of Sharpe Ratios
Lo, A. W. (2002) · Financial Analysts Journal · doi:10.2469/faj.v58.n4.2453 · Cited by 843
Metadata
- Authors
- Liang, B.
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2001-01
- Volume
- 57
- Issue
- 1
- Pages
- 11-18
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W1935769857
- Cited by
- 267
- References
- 1
- FWCI
- 39.64
- Type
- journal article
- Language
- en
- Open access
- closed
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