Stephen J. Brown, William N. Goetzmann, Roger G. Ibbotson
ABSTRACT
We examine the performance of the off-shore hedge fund industry over
the period 1989-1995 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, but little evidence
of differential manager skill.
Subject: Investments/International Finance (Empirical)
Brown: (212)998-0306 sbrown.stern.nyu.edu
http://www.stern.nyu.edu/~sbrown/sbrown.html
Goetzmann: (203)432-5950 william.goetzmann@yale.edu
http://www.viking.som.yale.edu/
Ibbotson: (203)432-6021 roger.ibbotson@yale.edu
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