Hedge funds have become increasingly important players in financial markets. This
heightened importance has spawned a large academic literature focused on issues …

Researchers have long known about backfill bias in hedge fund databases. The most
common treatments include either retaining all backfilled returns or truncating a fixed …

We study the long-run outcomes associated with hedge funds' compensation structure. Over
a 22-year period, the aggregate effective incentive fee rate is 2.5 times the average …

Berk and van Binsbergen (2016) have shown that the Capital Asset Pricing Model (CAPM)
best represents the revealed preferences of any investor who can invest in mutual funds (ie …

We use a new hedge fund data set from a separate account platform to examine (1) how
much of hedge fund return smoothing is due to main fund–specific factors, such as …

We provide the first quantitative survey of the empirical literature on hedge fund
performance. We examine the impact of potential biases on the reported results. Using a …

This article presents a performance update for the equity long–short mutual funds that were
first described and analyzed in McCarthy (2014), extending that analysis to the period from …

We investigate the implications of low but persistent serial correlation in Managed Futures'
returns for portfolio management. Using a measure based on the unweighted sum of …

We examine the factors influencing published estimates of hedge fund performance. Using a
sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the …

This paper successfully replicates Kosowski, Naik, and Teo (2007) and Jagannathan,
Malakhov, and Novikov (2010), two seminal studies of hedge fund performance persistence …