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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.

Suggested Citation

  • Stephen Brown & William Goetzmann & Roger Ibbotson, 2008. "Offshore Hedge Funds: Survival & Performance 1989-1995," Yale School of Management Working Papers ysm34, Yale School of Management, revised 16 Dec 2008.
  • Handle: RePEc:ysm:somwrk:ysm34
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    File URL: http://icfpub.som.yale.edu/publications/2647
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    1. Brown, Stephen J & Goetzmann, William N, 1995. " Performance Persistence," Journal of Finance, American Finance Association, vol. 50(2), pages 679-698, June.
    2. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-580.
    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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