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Hedge Fund Characteristics and Performance Persistence

✍ Scribed by Manuel Ammann; Otto Huber; Markus Schmid

Book ID: 111059291
Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 243 KB
Volume: 19
Category: Article
ISSN: 1354-7798
DOI: 10.1111/j.1468-036x.2010.00574.x

No coin nor oath required. For personal study only.

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## Abstract Using data on the monthly returns of hedge funds during the period January 1990 to August 1998, we estimate six‐factor Jensen alphas for individual hedge funds, employing eight different investment styles. We find that about 25% of the hedge funds earn positive excess returns and that t