It is well known that the pro forma performance of a sample of investment funds contains
biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) …

The paper provides a critical review of empirical findings on the performance of mutual
funds, mainly for the US and UK. Ex‐post, there are around 0‐5% of top performing UK and …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial
system conditional on institutions being under distress. We define an institution's …

This paper investigates the performance and capital inflows of private equity partnerships.
Average fund returns (net of fees) approximately equal the S&P 500 although substantial …

Individual investor trading results in systematic and economically large losses. Using a
complete trading history of all investors in Taiwan, we document that the aggregate portfolio …

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

Hedge funds display several interesting characteristics that may influence performance,
including: flexible investment strategies, strong managerial incentives, substantial …

The building blocks of the Sharpe ratio—expected returns and volatilities—are unknown
quantities that must be estimated statistically and are, therefore, subject to estimation error …

Following a review of the data and methodological difficulties in applying conventional
models used for traditional asset class indexes to hedge funds, this article argues against …

The returns to hedge funds and other alternative investments are often highly serially
correlated. In this paper, we explore several sources of such serial correlation and show that …