Prior research has shown that small funds, young funds, and local funds outperform their older, larger, and distant counterparts. According to the literature, hedge fund performance is driven by fund capacity constraints, managerial incentives, and local information. I revisit these studies on hedge funds and test whether their results hold up in recent data. By doing so, I lay the foundations for a quantitative hedge fund selection framework.
Hedge funds, hedge fund performance, selection
Finance and Financial Management
Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU
BNP Paribus Hedge Fund Centre, Singapore Management University
City or Country
Teo, Melvyn. 2010 December. Quantitative Hedge Fund Selection. Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU, 2-7.