Offshore hedge funds: Survival and performance, 1989-95
Offshore hedge funds: Survival and performance, 1989-95
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DOI：
10.1086/209603
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发表时间：
1999-01-01
影响因子：
--
通讯作者：
Ibbotson, RG
中科院分区：
文献类型：
--
作者：
Brown, SJ;Goetzmann, WN;Ibbotson, RG
我们研究了1989年至1995年期间离岸对冲基金行业的表现，使用了一个数据库，其中包括已解散的基金和目前运营的基金。该行业的特点是资金流失率高，与美国股市的协方差低，证据表明，随着时间的推移，风险调整后的收益为正，几乎没有证据表明，不同的经理技能。
We examine the performance of the off-shore hedge fund industry over the period 1989 through 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, and little evidence of differential manager skill.