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Offshore Hedge Funds: Survival and Performance 1989-1995

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Author Info
Stephen J. Brown
William N. Goetzmann
Roger G. Ibbotson

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Abstract

We examine the performance of the offshore hedge fund industry over the period 1989 through 1995 using a database that includes defunct as well as currently operating funds. The industry is characterized by high attrition rates of funds and little evidence of differential manager skill. We develop endogenous style categories for relative fund performance measures and find that repeat-winner and repeat-loser patterns in the data are largely due to style effects in that data.

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Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5909.

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Date of creation: Jan 1997
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Handle: RePEc:nbr:nberwo:5909

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Find related papers by JEL classification:
N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions

References listed on IDEAS
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  1. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March. [Downloadable!] (restricted)
  2. Goetzmann, W.N. & Ibbotson, R.G., 1990. "Do Winners Repeat? Patterns in Mutual Fund Behavior," Papers fb-_91-04, Columbia - Graduate School of Business.
  3. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-98, June. [Downloadable!] (restricted)
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  4. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," Journal of Business, University of Chicago Press, vol. 69(2), pages 133-57, April. [Downloadable!] (restricted)
  5. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(4), pages 553-80. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics. [Downloadable!]
    Other versions:
  2. Gilles Daniel & Didier Sornette & Peter Wohrmann, 2008. "Look-Ahead Benchmark Bias in Portfolio Performance Evaluation," Quantitative Finance Papers 0810.1922, arXiv.org. [Downloadable!]
  3. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2005. "Systemic Risk and Hedge Funds," NBER Working Papers 11200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc. [Downloadable!]
  4. repec:mcr:wpdief:wpaper00029 is not listed on IDEAS
  5. Irwin, Scott H. & Martines-Filho, Joao & Good, Darrel L., 2003. "The Performance Of Agricultural Market Advisory Services In Corn And Soybeans," 2003 Annual meeting, July 27-30, Montreal, Canada 22256, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    Other versions:
  6. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Irwin, Scott H. & Martines-Filho, Joao & Good, Darrel L., 2003. "The Pricing Performance Of Market Advisory Services In Corn And Soybeans Over 1995-2001," AgMAS Project Research Reports 14773, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
    Other versions:
  8. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York. [Downloadable!]
  9. Huyen Nguyen-Thi-Thanh, 2004. "Hedge fund behavior: An ex-post analysis," Working Papers halshs-00067744_v1, HAL. [Downloadable!]
  10. Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova, 2008. "Recovering Delisting Returns of Hedge Funds," CoFE Discussion Paper 08-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  11. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2006. "Is There Hedge Fund Contagion?," Working Paper Series 2006-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  12. Huyen Nguyen-Thi-Thanh, 2007. "Assessing Hedge Fund Performance: Does the Choice of Measures Matter?," Working Papers halshs-00184814_v1, HAL. [Downloadable!]
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