Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases

By William Fung, David A. Hsieh. Journal of Financial and Quantitative Analysis, 2000

786 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cbb26a105a2c2489f14e9db7a7cb196ae53e4cc9

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Citations in the corpus

How Smart are the Smart Guys? A Unique View from Hedge Fund Stock Holdings (2009, neutral): “First, hedge fund data sources suffer from self-selected reporting (returns are reported following good performance) and survivorship bias, as discussed by Fung and Hsieh (2000), among others.”
Hedge funds: an industry in its adolescence (2006, methodology): “An alternative is to use the average return of funds of funds (FoFs), as suggested in Fung and Hsieh (2000b).”
Hedge Funds, Managerial Skill, and Macroeconomic Variables (2011, background): “Fung and Hsieh (1999, 2000, 2001), Mitchell and Pulvino (2001), and Agarwal and Naik (2004) show that hedge fund returns relate to conventional asset class returns and option-based strategy returns.”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, methodology): “In this paper, our focus is not 1 A partial list includes Fung and Hsieh (1997, 2000, 2001, 2004), Ackermann, McEnally, and Ravenscraft (1999), Liang (1999,2001), Mitchell and Pulvino (2001), Agarwal and Naik (2000,2004), Kosowski, Naik,…”
Can Hedge Funds Time Market Liquidity (2012, positive): “In addition, Fung and Hsieh (2000) argue that funds of funds generally contain less survivorship bias and backfill bias than hedge funds.”
Performance Evaluation of Hedge Funds with Option-based and Buy-and-Hold Strategies (2000, methodology): “Fung and Hsieh (2000a) find that Sharpe’s model performs equally poorly for “trend-following” CTA strategies with the adjusted R-squares ranging from –3.2% to 7.5% (see their Table 2).”
Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach (2005, background): “Fung and Hsieh (2000) examine hedge fund performance and risk in some major market events/crisis.”
Do hedge funds deliver alpha? A Bayesian and bootstrap analysis (2007, background): “Fung and Hsieh (1999, 2000, 2001), Mitchell and Pulvino (2001) and Agarwal and Naik (2004) show that hedge fund returns relate to conventional asset class returns and option-based strategy returns3.”
The performance of emerging hedge funds and managers. (2010, background): “Fung and Hsieh (2000) describe the distribution of this incubation period for hedge funds.”
Hedge Fund Benchmarks: A Risk-Based Approach (2004, background): “These benefits can be illustrated with the example of the bond market decline of 1994 (see Fung and Hsieh 2000).”
Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, background): “In particular, Fung and Hsieh (2000) estimate the magnitude of survivorship bias to be 3.00% per year, and Liang’s (2000) estimate is 2.24% per year.”
Hedge Funds as Investors of Last Resort (2009, background): “2 Other papers discussing the behavior and performance of hedge funds include Fung and Hsieh (1997, 1999, 2000a, 2000b, 2001), Ackermann, McEnally, and Ravenscraft (1999); Brown, Goetzmann, and Ibbotson (1999); Brown, Goetzmann, and Park (2000, 2001); Brown and Goetzmann (2003); and Gupta and Liang…”
Share restrictions and asset pricing: Evidence from the hedge fund industry (2007, background): “This estimate is significantly higher than the 3% documented by Fung and Hsieh (2000) and Brown, et al. (1999).46 The estimated impacts of lockups and minimum investment size on performance are close to those for the full sample without backfilled data.”