Performance persistence in hedge funds: Australian evidence

Viet Do, Robert Faff, Madhu Veeraraghavan*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)


Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term winning persistence. Tests of multiperiod performance reveal weak evidence of losing persistence. We also do not find any evidence of persistence in both stock picking and market timing. We report evidence of mean reversion for both stock picking and market timing at the medium horizon.

Original languageEnglish
Pages (from-to)346-362
Number of pages17
JournalJournal of International Financial Markets, Institutions and Money
Issue number4
Publication statusPublished - Oct 2010
Externally publishedYes


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