Analysis Group Vice President Michael Cliff Publishes Article on Hedge Funds

September 22, 2017

While hedge funds have grown into a prominent investment vehicle over the last 20 years, many questions remain regarding their value to investors. A review of current literature from academics and practitioners alike indicates that there is no consensus as to whether an average hedge fund adds value after considering fees (typically 2% of assets and 20% of profits). 

In a recent article titled “Hedge Funds: The Good, the Bad, and the Lucky,” published in the Journal of Financial and Quantitative Analysis, Analysis Group Vice President Michael Cliff and his coauthors developed a new performance measure to identify superior individual hedge funds, and demonstrated the practical application of the measure to a sample of 8,695 hedge funds. This method provides an estimate of the likelihood that a particular fund has enough skill to add value, recognizing that a fund's past performance reflects both skill and luck.

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