The DOI matches its Crossref record; 26 of the 26 references it cites were found in a registry or an index.
Hedge Funds: Risk and Return
Abstract
From a database that is relatively free of bias, this article provides measures of the returns of hedge funds and of the distinctly nonnormal characteristics of the data. The results include risk-adjusted measures of performance and tests of the degree to which hedge funds live up to their claim of market neutrality. The substantial attrition of hedge funds is examined, the determinants of hedge fund demise are analyzed, and results of tests of return persistence are presented. The conclusion is that hedge funds are riskier and provide lower returns than is commonly supposed.
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Cites
A Test for Normality of Observations and Regression Residuals
Jarque, C. M., & Bera, A. K. (1987) · International Statistical Review / Revue Internationale de Statistique · doi:10.2307/1403192 · Cited by 3,179
Risk measurement when shares are subject to infrequent trading
Dimson, E. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90013-8 · Cited by 2,754
Estimating betas from nonsynchronous data
Scholes, M., & Williams, J. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90041-1 · Cited by 2,743
The Econometric Analysis of Transition Data
Lancaster, T. (1990) · Cambridge University Press eBooks · doi:10.1017/ccol0521265967 · Cited by 2,097
A test for normality of observations and regression residuals
Dang, V. C. (1987) · Cited by 2,017
Economic duration data and hazard functions
Kiefer, N. M. (1988) · Journal of Economic Literature · Cited by 1,845
Returns from Investing in Equity Mutual Funds 1971 to 1991
MALKIEL, B. G. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04795.x · Cited by 1,745
Self-citationThe Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
Fung, W., & Hsieh, D. A. (2001) · Review of Financial Studies · doi:10.1093/rfs/14.2.313 · Cited by 1,197
Econometric Methods for the Duration of Unemployment
Lancaster, T. (1979) · Econometrica · doi:10.2307/1914140 · Cited by 1,161
The Performance of Hedge Funds: Risk, Return, and Incentives
Ackermann, C., McEnally, R., & Ravenscraft, D. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00129 · Cited by 1,101
Cited by
Robust performance hypothesis testing with the Sharpe ratio
Ledoit, O., & Wolf, M. (2008) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2008.03.002 · Cited by 948
Hedge Funds: Past, Present, and Future
Stulz, R. M. (2007) · Journal of Economic Perspectives · doi:10.1257/jep.21.2.175 · Cited by 267
The performance of emerging hedge funds and managers☆
Aggarwal, R. K., & Jorion, P. (2010) · Journal of Financial Economics · doi:10.1016/j.jfineco.2009.12.010 · Cited by 258
The Growth and Performance of Artificial Intelligence in Asset Management
Chen, S., Sialm, C., & Xu, D. (2026) · National Bureau of Economic Research · doi:10.3386/w35273
Metadata
- Authors
- Malkiel, B. G., & Saha, A.
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2005-11
- Volume
- 61
- Issue
- 6
- Pages
- 80-88
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W2106572203
- Cited by
- 425
- References
- 26
- FWCI
- 50.55
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
