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Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases

Publication ,  Journal Article
Fung, W; Hsieh, DA
Published in: Journal of Financial and Quantitative Analysis
January 1, 2000

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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Published In

Journal of Financial and Quantitative Analysis

DOI

ISSN

0022-1090

Publication Date

January 1, 2000

Volume

35

Issue

3

Start / End Page

291 / 307

Related Subject Headings

  • Finance
  • 3502 Banking, finance and investment
  • 3501 Accounting, auditing and accountability
  • 1502 Banking, Finance and Investment
  • 1501 Accounting, Auditing and Accountability
 

Citation

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Fung, W., & Hsieh, D. A. (2000). Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases. Journal of Financial and Quantitative Analysis, 35(3), 291–307. https://doi.org/10.2307/2676205
Fung, W., and D. A. Hsieh. “Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases.” Journal of Financial and Quantitative Analysis 35, no. 3 (January 1, 2000): 291–307. https://doi.org/10.2307/2676205.
Fung W, Hsieh DA. Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases. Journal of Financial and Quantitative Analysis. 2000 Jan 1;35(3):291–307.
Fung, W., and D. A. Hsieh. “Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases.” Journal of Financial and Quantitative Analysis, vol. 35, no. 3, Jan. 2000, pp. 291–307. Scopus, doi:10.2307/2676205.
Fung W, Hsieh DA. Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases. Journal of Financial and Quantitative Analysis. 2000 Jan 1;35(3):291–307.
Journal cover image

Published In

Journal of Financial and Quantitative Analysis

DOI

ISSN

0022-1090

Publication Date

January 1, 2000

Volume

35

Issue

3

Start / End Page

291 / 307

Related Subject Headings

  • Finance
  • 3502 Banking, finance and investment
  • 3501 Accounting, auditing and accountability
  • 1502 Banking, Finance and Investment
  • 1501 Accounting, Auditing and Accountability