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Offshore Hedge Funds: Survival & Performance 1989-1995

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  • Stephen Brown
  • William Goetzmann
  • Roger Ibbotson

Abstract

We examine the performance of the off-shore hedge fund industry over the period 1989-1995 using a database that includes both defunct and currently operating funds. The industry is characterized by high attrition rates of funds, low covariance with the U.S. stock market, evidence consistent with positive risk-adjusted returns over the time, but little evidence of differential manager skill.

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File URL: http://icfpub.som.yale.edu/publications/2647
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Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm34.

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Date of creation: 07 Nov 2008
Date of revision: 16 Dec 2008
Handle: RePEc:ysm:somwrk:ysm34

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Web page: http://icf.som.yale.edu/
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  1. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
  2. William N. Goetzmann & Stephen J. Brown, 2005. "Performance Persistence," Yale School of Management Working Papers ysm451, Yale School of Management.
  3. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
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