We examine the performance life cycle of hedge funds. Performance declines with age are pervasive, not just for the average fund, but also for past winners and for funds with characteristics that predict cross-sectional returns. Fund growth and decreasing performance incentives appear to contribute to performance declines with age. Performance declines in early years coincide with a sharp drop in strategy distinctiveness. Horse racing analysis suggests that investors can exploit life cycle mechanisms, as portfolios of funds that are small and that have strong performance incentives (regardless of age) deliver superior performance with greater consistency than even past winners do.

中文翻译：

---

对冲基金的业绩生命周期：投资者能否实现持久业绩？

我们研究了对冲基金的绩效生命周期。业绩随着年龄的增长而下降是普遍存在的，不仅对于普通基金，而且对于过去的赢家和具有预测横截面回报特征的基金也是如此。基金增长和绩效激励减少似乎会导致绩效随着年龄的增长而下降。早年的业绩下滑与战略独特性的急剧下降相吻合。赛马分析表明，投资者可以利用生命周期机制，因为规模较小且具有强大绩效激励（不论年龄）的基金组合提供了比过去的赢家更高的一致性和卓越的业绩。