本研究使用避險基金研究機構（HFR）避險基金資料庫所提供之基金月報酬檢驗基金之績效，資料期間為1995年7月至2010年6月，總計有2,815支基金資料；本研究中以Hsu et al. (2012）之廣義k-逐步預測力優劣檢定法來控制資料探勘偏誤並檢定個別基金的績效。本研究分別以非模型相依(Manipulation-proof Performance Measure、夏普值、平均報酬率）和模型相依(因子模型alpha值和alpha之t統計量)等統計量，來衡量基金的絕對報酬、相對報酬和風險調整後的報酬是否顯著。實驗結果發現，不管是根據模型相依或非模型相依的統計量，用廣義k-逐步預測力優劣檢定法所篩選出的績優基金均權投組在樣本外期間能持續擁有正的績效值：此結果證明好的避險基金在樣本外期間具有績效持續性。不過，若使用無母數拔靴檢定，並非所有上述統計量樣本外的正值皆具有統計顯著性。

The main turust of this study is to examine whether the goog performance of elite funds selected from the HFR (Hedge Fund Research Inc.) hedge funds dataset persists over time. The study spans the July-1995 to June-2010 period, including 2,815 hedg funds. We employ Hsu et al. (2012)’s Generalized-k Step-SPA test to control for the data-snooping effect when evaluating the performance of hedge funds. Using model-free and model-dependent measures such as MPPM (Manipulation-Proof Performance Measure), Measn Return, Sharpe Ratio, Factor Alpha, Standardized Factor Alpha, we examine whether the absolute return, relative return and risk-adjusted return of a hedge fund are significantly positive. The empirical results of this study tend to suggest that, regardless of the performance measure, the equally-weighted portfolio of elite funds identified by the Generalized-k Step-SPA test is able to demonstrate positive performance during the out-of-sample period of different length. This result shows performance persistence of good fund portfolio across time. However, a caveat needs to be noted that not all positive performance measures of the identified elite fund portfolio is statistically significant if evaluated by the non-parametric bootstrapped p-value.

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