Abstract:

The aim of this study is to investigate the impact of Hedge Fund performance on the subsequent period returns. In the framework of this goal, performance measurement rates have been calculated by the Hedge Fund for the years 1999-2018 of 12 countries with 20 years of uninterrupted data, using market and non-risk return data. In the study, the subsequent period returns of Hedge funds were used as dependent variables, Information Rate, Calmar Rate, M2 Performance Measure, Jensen's Alpha Measure, Sharpe Rate, Sortino Rate, Sterling Rate, Treynor Index as independent variables. In light of the results obtained, the performance measurement rates of the total risk-based field Sharpe and Sortino rates, the performance measurement rates of the systematic risk-based field Treynor Index have been identified as significantly independent variables. The result was also that the low Sharpe Rate Hedge Funds increased their revenue in the subsequent period, while the high ones reduced their revenue in the subsequent period, the Sortino Rate and Treynor Index followed the same direction as the revenue of funds.

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