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The Journal of Alternative Investments

The Journal of Alternative Investments

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Primary Article

Performance in the Hedge Funds Industry

An Analysis of Short- and Long-Term Persistence

P.-A. Barès, Rajna Gibson and S. Gyger
The Journal of Alternative Investments Winter 2003, 6 (3) 25-41; DOI: https://doi.org/10.3905/jai.2003.319097
P.-A. Barès
An associate professor of physics at the Institute of Theoretical Physics, Swiss Federal Institute of Technology Lausanne, Lausanne, Switzerland.
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Rajna Gibson
A full professor of finance at the Swiss Banking Institute, University of Zurich, Zurich, Switzerland.
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  • For correspondence: rgibson@isb.unizh.ch
S. Gyger
An asset manager at Lombard Odier Darier Hentsch & Cie in Geneva, Switzerland.
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Abstract

In this study, we analyze the performance persistence of hedge funds over short- and long-term horizons. Using a non-parametric test, we first observe that the Relative Value and the Specialist Credit strategies contain the highest proportion of outperforming managers. We next analyze the performance persistence of portfolios ranked according to their average past returns. Persistence is mainly observed over one- to three-month holding periods but rapidly vanishes as the formation or the holding period is lengthened. We finally examine long-term risk-adjusted returns persistence of hedge fund portfolio within an APT framework. This leads us to detect a slight overreaction pattern that is more pronounced among the directional hedge fund strategies.

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The Journal of Alternative Investments
Vol. 6, Issue 3
Winter 2003
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Performance in the Hedge Funds Industry
P.-A. Barès, Rajna Gibson, S. Gyger
The Journal of Alternative Investments Dec 2003, 6 (3) 25-41; DOI: 10.3905/jai.2003.319097

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Performance in the Hedge Funds Industry
P.-A. Barès, Rajna Gibson, S. Gyger
The Journal of Alternative Investments Dec 2003, 6 (3) 25-41; DOI: 10.3905/jai.2003.319097
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