C. Ackermann, R. Mcenally, and D. Ravenscraft, The Performance of Hedge Funds: Risk, Return, and Incentives, The Journal of Finance, vol.22, issue.3, pp.833-874, 1999.
DOI : 10.1111/0022-1082.00129

V. Agarwal and N. Y. Naik, Generalised style analysis of hedge funds, Journal of Asset Management, vol.1, issue.1, pp.93-109, 2000.
DOI : 10.1057/palgrave.jam.2240007

V. Agarwal and N. Y. Naik, Multi-Period Performance Persistence Analysis of Hedge Funds, The Journal of Financial and Quantitative Analysis, vol.35, issue.3, pp.327-342, 2000.
DOI : 10.2307/2676207

N. Amenc, S. Bied, and L. Martellini, Predictability in Hedge Fund Returns (corrected), Financial Analysts Journal, vol.59, issue.5, pp.32-46, 2003.
DOI : 10.2469/faj.v59.n5.2562

G. Baquero, J. Horst, and M. Verbeek, Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance, Journal of Financial and Quantitative Analysis, vol.29, issue.03, pp.493-517, 2004.
DOI : 10.2307/2329222

P. Barès, R. Gibson, and S. Gyger, Performance in the Hedge Funds Industry, The Journal of Alternative Investments, vol.6, issue.3, pp.25-41, 2003.
DOI : 10.3905/jai.2003.319097

N. M. Boyson and M. J. Cooper, Do hedge funds exhibit performance persistence? A new approach, 2004.

C. Brooks and H. Kat, The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors, The Journal of Alternative Investments, vol.5, issue.2, pp.26-44, 2002.
DOI : 10.3905/jai.2002.319053

B. W. Brorsen and . A. Harri, Performance persistence and the source of returns for hedge funds, Applied Financial Economics, vol.14, pp.131-141, 2004.

S. Brown, W. Goetzmann, and R. Ibbotson, Offshore Hedge Funds: Survival and Performance, 1989???95, The Journal of Business, vol.72, issue.1, pp.91-117, 1999.
DOI : 10.1086/209603

M. Caglayan and F. Edwards, Hedge fund performance and manager skill, Journal of Futures Markets, vol.21, pp.1003-102, 2001.

D. Capocci, A. Corhay, and G. Hübner, Hedge fund performance and persistence in bull and bear markets, The European Journal of Finance, vol.22, issue.5, pp.361-392, 2005.
DOI : 10.1111/0022-1082.00131

J. N. Carpenter and A. W. Lynch, Survivorship bias and attrition effects in measures of performance persistence, Journal of Financial Economics, vol.54, issue.3, pp.337-374, 1999.
DOI : 10.1016/S0304-405X(99)00040-9

D. Souza, C. Gokcan, and S. , Hedge Fund Investing, The Journal of Wealth Management, vol.6, issue.4, pp.52-73, 2004.
DOI : 10.3905/jwm.2004.391058

F. R. Edwards and M. O. Caglayan, Hedge Fund Performance and Manager Skill, Journal of Futures Markets, vol.43, issue.11, pp.1003-1028, 2001.
DOI : 10.1002/fut.2102

M. Eling, Does hedge fund performance persist? Overview and new empirical evidence. Working papers on risk management and insurance 37, 2008.
DOI : 10.2139/ssrn.973743

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

E. F. Fama and J. Macbeth, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy, vol.81, issue.3, p.22, 1973.
DOI : 10.1086/260061

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

W. Fung and D. A. Hsieh, Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases, The Journal of Financial and Quantitative Analysis, vol.35, issue.3, pp.291-307, 2000.
DOI : 10.2307/2676205

J. D. Gibbons and S. Chakraborti, Nonparametric Statistical Inference, 1992.
DOI : 10.1007/978-3-642-04898-2_420

B. Gupta, B. Cerrahoglu, and A. Daglioglu, Evaluating Hedge Fund Performance, The Journal of Alternative Investments, vol.6, issue.3, pp.7-24, 2003.
DOI : 10.3905/jai.2003.319096

A. Harri and B. W. Brorsen, Performance persistence and the source of returns for hedge funds, Applied Financial Economics, vol.34, issue.2, pp.131-141, 2004.
DOI : 10.3905/jpm.1992.409394

J. Henn and I. Meier, Performance Analysis of Hedge Funds, Handbuch Hedge Funds, 2004.

M. M. Herzberg and H. A. Mozes, The Persistence of Hedge Fund Risk, The Journal of Alternative Investments, vol.6, issue.2, pp.22-42, 2003.
DOI : 10.3905/jai.2003.319089

R. Jagannathan, A. Malakhov, and D. Novikov, Do hot hands persist among hedge fund managers? An empirical evaluation, 2006.

H. M. Kat and F. Menexe, Performance evaluation and conditioning information: The case of hedge funds. The Journal of Alternative Investments, p.23, 2003.

F. Koh, W. T. Koh, and M. Teo, Asian hedge funds: Return persistence, style, and fund characteristics, 2003.

R. Kouwenberg, Do hedge funds add value to a passive portfolio? Correcting for non-normal returns and disappearing funds, Journal of Asset Management, vol.3, issue.4, pp.361-382, 2003.
DOI : 10.1057/palgrave.jam.2240089

B. Liang, Hedge Fund Performance: 1990???1999, Financial Analysts Journal, vol.57, issue.1, pp.11-18, 2001.
DOI : 10.2469/faj.v57.n1.2415

A. W. Lo and A. C. Mackinlay, Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, Review of Financial Studies, vol.1, issue.1, pp.41-66, 1988.
DOI : 10.1093/rfs/1.1.41

B. G. Malkiel and A. Saha, Hedge Funds: Risk and Return, Financial Analysts Journal, vol.61, issue.6, pp.80-88, 2005.
DOI : 10.2469/faj.v61.n6.2775

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

. Mendenhall and W. Schea¤er, Mathematical Statistics with Applications, 1986.

N. Posthuma and P. J. Van-der-sluis, A Reality Check on Hedge Funds Returns, hedge fund intelligent investing, 2004.
DOI : 10.2139/ssrn.438840

A. Wald and J. Wolfowitz, On a Test Whether Two Samples are from the Same Population, The Annals of Mathematical Statistics, vol.11, issue.2, pp.147-162, 1940.
DOI : 10.1214/aoms/1177731909