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1、THEJOURNALOFFINANCE·VOL.LIV,NO.3·JUNE1999ThePerformanceofHedgeFunds:Risk,Return,andIncentivesCARLACKERMANN,RICHARDMcENALLY,andDAVIDRAVENSCRAFT*ABSTRACTHedgefundsdisplayseveralinterestingcharacteristicsthatmayinfluenceperfor-mance,including:flexibleinvestmentstrategies,strongmanagerialince
2、ntives,sub-stantialmanagerialinvestment,sophisticatedinvestors,andlimitedgovernmentoversight.Usingalargesampleofhedgefunddatafrom1988±1995,wefindthathedgefundsconsistentlyoutperformmutualfunds,butnotstandardmarketindi-ces.Hedgefunds,however,aremorevolatilethanbothmutualfundsandmarketindic
3、es.Incentivefeesexplainsomeofthehigherperformance,butnotthein-creasedtotalrisk.Theimpactofsixdata-conditioningbiasesisexplored.Wefindevidencethatpositiveandnegativesurvival-relatedbiasesoffseteachother.HEDGEFUNDSHAVEBEENINEXISTENCEforalmost50years.However,theirre-centgrowthhasincreasedthe
4、irprominenceinthefinancialmarketsandthebusinesspress.Sincethelate1980s,thenumberofhedgefundshasrisenbymorethan25percentperyear.Therateofgrowthinhedgefundassetshasbeenevenmorerapid.In1997,thereweremorethan1200hedgefundsmanagingatotalofmorethan$200billion.Thoughthenumberandsizeofhedgefundsa
5、resmallrelativetomutualfunds,theirgrowthreflectstheimportanceofthisalternativeinvestmentvehicleforinstitutionalinves-torsandwealthyindividualinvestors.1Asthenameimplies,hedgefundsbeganasinvestmentpartnershipsthatcouldtakelongandshortpositions.Theyhaveevolvedintoamultifacetedorganizational
6、structurethatdefiessimpledefinition.Thereare,however,a*AckermannisattheCollegeofBusinessAdministration,UniversityofNotreDame.McEnallyandRavenscraftareattheKenan-FlaglerBusinessSchool,UniversityofNorthCarolina,ChapelHill.WethankBrianBarrett,KenFrench,MartinGross,LeeHennessee,LoisPeltz,Indi
7、raPeters,JacobPunnoose,DickOberuc,RichardRendleman,SteveSlezak,RenéStulz,threeanonymousreferees,andseminarparticipantsatthe1997AmericanFinanceAssociationMeet-ings,the1996EuropeanHedgeFundConference,the1996FinancialManagementAssociationMeetings,andtheUniversityofNort
