Persistent Doubt: An Examination of Hedge Fund Performance

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...

Full description

Saved in:
Bibliographic Details
Published in:European financial management : the journal of the European Financial Management Association 2016-09, Vol.22 (4), p.613-639
Main Authors: dela O. González, María, Papageorgiou, Nicolas A., Skinner, Frank S.
Format: Article
Language:English
Subjects:
doubt ratio
Financial performance
Hedge funds
Investment funds
manipulation-proof performance measure
performance measures
Portfolio management
Studies
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1354-7798
1468-036X
DOI:10.1111/eufm.12070