Analysis of hedge funds performance

D. Capocci, G.M.B.J. Hübner

Research output: Contribution to journalArticleAcademicpeer-review


Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), we investigate hedge funds performance using various asset pricing models, including an extension of carhart's (1997) specification combined with the fama and french (1998) and agarwal and naik (2002) models and a new factor that takes into account the fact that some hedge funds invest in emerging bond markets. This addition is particularly suitable for more than half of the hedge funds categories, and for all funds in general. The performance of hedge funds for several individual strategies and different subperiods, including the asian crisis period, indicates limited evidence of persistence in performance but not for extreme performers.
Original languageEnglish
Pages (from-to)55-89
Number of pages34
JournalJournal of Empirical Finance
Issue number1
Publication statusPublished - 1 Jan 2004

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