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Hedge Fund Performance Persistence over …
Hedge fund Performance Persistence over Different Market Conditions Zheng Sun Ashley W. Wang University of California at Irvine Federal Reserve Board Lu Zheng University of California at Irvine This draft: April 2014 We provide novel evidence that Hedge fund Performance is persistent following periods of relative Hedge fund market weakness, but not following periods of relative market strength.
4 persistence conditioning on the overall conditions of hedge fund sector. We start by constructing two conditional performance measures, DownsideReturns and UpsideReturns, which are based
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