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!
cited_by cdi_FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3
cites cdi_FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3
container_end_page 639
container_issue 4
container_start_page 613
container_title European financial management : the journal of the European Financial Management Association
container_volume 22
creator dela O. González, María
Papageorgiou, Nicolas A.
Skinner, Frank S.
description 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.
doi_str_mv 10.1111/eufm.12070
format article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_1878796750</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>1878796750</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3</originalsourceid><addsrcrecordid>eNp90E1PwjAYB_DFaCKiFz_BEi_GZNjS13FD5MUE1BiIxEvTlWdmyDZstwjf3iLqwYO9tIff_8nTfxCcY9TC_lxDneYt3EYCHQQNTLmMEOHzQ_8mjEZCxPI4OHFuiRCijMlG0HkE6zJXQVGFt2WdVJ2wW4T9jc6zQldZWYRlGo5g8QrhoC4WoedpaXNdGDgNjlK9cnD2fTeD2aA_7Y2i8cPwrtcdR4aKNoooECkWUgJHGhgIbUQbx2miWZIIbnQiBRdkIbmJZRJzkmqeAGlTkwBllBrSDC73c9e2fK_BVSrPnIHVShdQ1k5hKaSIuWDI04s_dFnWtvDbeYUZ44QS4tXVXhlbOmchVWub5dpuFUZqV6Pa1ai-avQY7_FHtoLtP1L1Z4PJTybaZ3bFbn4z2r4p_1XB1PP9UE3FYPLSm9-oJ_IJ_k6CzA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1815563433</pqid></control><display><type>article</type><title>Persistent Doubt: An Examination of Hedge Fund Performance</title><source>International Bibliography of the Social Sciences (IBSS)</source><source>Business Source Ultimate</source><source>Wiley</source><source>EconLit with Full Text</source><creator>dela O. González, María ; Papageorgiou, Nicolas A. ; Skinner, Frank S.</creator><creatorcontrib>dela O. González, María ; Papageorgiou, Nicolas A. ; Skinner, Frank S.</creatorcontrib><description>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.</description><identifier>ISSN: 1354-7798</identifier><identifier>EISSN: 1468-036X</identifier><identifier>DOI: 10.1111/eufm.12070</identifier><language>eng</language><publisher>Oxford: Blackwell Publishing Ltd</publisher><subject>doubt ratio ; Financial performance ; Hedge funds ; Investment funds ; manipulation-proof performance measure ; performance measures ; Portfolio management ; Studies</subject><ispartof>European financial management : the journal of the European Financial Management Association, 2016-09, Vol.22 (4), p.613-639</ispartof><rights>2015 John Wiley &amp; Sons, Ltd.</rights><rights>2016 John Wiley &amp; Sons, Ltd.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3</citedby><cites>FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,777,781,27905,27906,33204,33205</link.rule.ids></links><search><creatorcontrib>dela O. González, María</creatorcontrib><creatorcontrib>Papageorgiou, Nicolas A.</creatorcontrib><creatorcontrib>Skinner, Frank S.</creatorcontrib><title>Persistent Doubt: An Examination of Hedge Fund Performance</title><title>European financial management : the journal of the European Financial Management Association</title><addtitle>Eur Financial Management</addtitle><description>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.</description><subject>doubt ratio</subject><subject>Financial performance</subject><subject>Hedge funds</subject><subject>Investment funds</subject><subject>manipulation-proof performance measure</subject><subject>performance measures</subject><subject>Portfolio management</subject><subject>Studies</subject><issn>1354-7798</issn><issn>1468-036X</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><sourceid>24P</sourceid><sourceid>8BJ</sourceid><recordid>eNp90E1PwjAYB_DFaCKiFz_BEi_GZNjS13FD5MUE1BiIxEvTlWdmyDZstwjf3iLqwYO9tIff_8nTfxCcY9TC_lxDneYt3EYCHQQNTLmMEOHzQ_8mjEZCxPI4OHFuiRCijMlG0HkE6zJXQVGFt2WdVJ2wW4T9jc6zQldZWYRlGo5g8QrhoC4WoedpaXNdGDgNjlK9cnD2fTeD2aA_7Y2i8cPwrtcdR4aKNoooECkWUgJHGhgIbUQbx2miWZIIbnQiBRdkIbmJZRJzkmqeAGlTkwBllBrSDC73c9e2fK_BVSrPnIHVShdQ1k5hKaSIuWDI04s_dFnWtvDbeYUZ44QS4tXVXhlbOmchVWub5dpuFUZqV6Pa1ai-avQY7_FHtoLtP1L1Z4PJTybaZ3bFbn4z2r4p_1XB1PP9UE3FYPLSm9-oJ_IJ_k6CzA</recordid><startdate>201609</startdate><enddate>201609</enddate><creator>dela O. González, María</creator><creator>Papageorgiou, Nicolas A.</creator><creator>Skinner, Frank S.</creator><general>Blackwell Publishing Ltd</general><scope>BSCLL</scope><scope>24P</scope><scope>WIN</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>201609</creationdate><title>Persistent Doubt: An Examination of Hedge Fund Performance</title><author>dela O. González, María ; Papageorgiou, Nicolas A. ; Skinner, Frank S.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>doubt ratio</topic><topic>Financial performance</topic><topic>Hedge funds</topic><topic>Investment funds</topic><topic>manipulation-proof performance measure</topic><topic>performance measures</topic><topic>Portfolio management</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>dela O. González, María</creatorcontrib><creatorcontrib>Papageorgiou, Nicolas A.</creatorcontrib><creatorcontrib>Skinner, Frank S.</creatorcontrib><collection>Istex</collection><collection>Wiley Open Access</collection><collection>Wiley Online Library Journals</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>European financial management : the journal of the European Financial Management Association</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>dela O. González, María</au><au>Papageorgiou, Nicolas A.</au><au>Skinner, Frank S.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Persistent Doubt: An Examination of Hedge Fund Performance</atitle><jtitle>European financial management : the journal of the European Financial Management Association</jtitle><addtitle>Eur Financial Management</addtitle><date>2016-09</date><risdate>2016</risdate><volume>22</volume><issue>4</issue><spage>613</spage><epage>639</epage><pages>613-639</pages><issn>1354-7798</issn><eissn>1468-036X</eissn><abstract>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.</abstract><cop>Oxford</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/eufm.12070</doi><tpages>27</tpages><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier ISSN: 1354-7798
ispartof European financial management : the journal of the European Financial Management Association, 2016-09, Vol.22 (4), p.613-639
issn 1354-7798
1468-036X
language eng
recordid cdi_proquest_miscellaneous_1878796750
source International Bibliography of the Social Sciences (IBSS); Business Source Ultimate; Wiley; EconLit with Full Text
subjects doubt ratio
Financial performance
Hedge funds
Investment funds
manipulation-proof performance measure
performance measures
Portfolio management
Studies
title Persistent Doubt: An Examination of Hedge Fund Performance
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-19T14%3A03%3A09IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Persistent%20Doubt:%20An%20Examination%20of%20Hedge%20Fund%20Performance&rft.jtitle=European%20financial%20management%20:%20the%20journal%20of%20the%20European%20Financial%20Management%20Association&rft.au=dela%20O.%20Gonz%C3%A1lez,%20Mar%C3%ADa&rft.date=2016-09&rft.volume=22&rft.issue=4&rft.spage=613&rft.epage=639&rft.pages=613-639&rft.issn=1354-7798&rft.eissn=1468-036X&rft_id=info:doi/10.1111/eufm.12070&rft_dat=%3Cproquest_cross%3E1878796750%3C/proquest_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c4720-4e387d88e60ae5e7ac7219fba5bb76cab87673d86c98b963fa6be324cbe4544c3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=1815563433&rft_id=info:pmid/&rfr_iscdi=true