Performance Persistence and Hedge Funds' Attributes: Performance Persistence

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The objective of this thesis is to examine performance persistence in hedge funds and to link performance persistence to hedge funds’ attributes. Consequently the research question(s) consist of two parts: 1) Is there persistence in hedge fund performance? and 2) How does performance persistence relate to hedge fund attributes? Using extensive dataset and performing our investigation across different strategies and at three different measurement intervals (quarterly, half-yearly and yearly), we find statistically significant performance persistence, with the highest level of persistence in half-yearly alphas followed by quarterly and yearly. In addition to statistical significance, we find by building portfolio based on past winners that performance persistence is economically significant. Hedge fund attributes that we attempt to relate persistence to are: location, status, compensation, age and size. We do not find statistically significant evidence that fund’s attributes signal additional information about investing skills of hedge fund m...