Performance persistence

Academic Paper

In the penultimate article in our series on hedge fund performance measurement, we look at what the academic literature has to say about the capacity of high-performance funds to repeat their performance over time.

Top-ranking funds are very attractive. However one question is fundamental: do winners repeat? This question brings up a primordial aspect of the performance measurement process - performance persistence - which I touched on in Hedge Funds Review March 2005.

While a measure of

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