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Journal Article

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

William Fung and David A. Hsieh
The Journal of Financial and Quantitative Analysis
Vol. 35, No. 3 (Sep., 2000), pp. 291-307
DOI: 10.2307/2676205
Stable URL: http://www.jstor.org/stable/2676205
Page Count: 17
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases
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Abstract

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) using mutual funds as subjects. The organization structure of hedge funds, as private and often offshore vehicles, makes data collection a much more onerous task, amplifying the impact of performance measurement biases. This paper reviews these biases in hedge funds. We also propose using funds-of-hedge funds to measure aggregate hedge fund performance, based on the idea that the investment experience of hedge fund investors can be used to estimate the performance of hedge funds.

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