Hedge Funds Performance Persistence

This article investigate the performance persistence of 736 hedge funds monthly observations of nine style categories, as they include the largest number of hedge funds measured from 1990 to 2003. The sample is free from survivorship bias as it includes funds that has terminated, merged or unitized. The whole sample consists of 773 hedge funds. We measure performance using risk adjusted measures. High values of the Treynor, Sharpe and information ratio are an indication of a skillful manager that adds value in terms of better performance persistence of the funds under each style category. In contrast, low values of the Treynor, Sharpe and information ratio are an indication of a manager that shows low performance and no value in terms of stock picking ability. The results in term of Treynor, Sharpe and information ratio are mixed. There is mixed evidence of long-term performance persistence. All style categories display positive figures in terms of the share average returns. Positive returns indicate that the manager is skillful in terms of share picking ability.