Hedge fund performance persists in the face of the financial crisis.

Summary The research conducted proposes a contribution to the analysis of hedge fund performance in a context of financial market instability. This thesis work revolves around two axes of reflection. The first axis examines the dependence structure between alternative measures of absolute performance, highlighting the impact of the change of database and analysis period on the ranking of indices. In this context, we propose to compare the performance of five strategy indices from three different databases. The analysis is carried out over three periods: a pre-crisis period, a crisis period and an overall period. We have been able to show that the evaluation of performance and the dependence between the indicators are elements that are highly sensitive to the analysis period. Moreover, this analysis confirms that there is no "universal" index that can represent the hedge fund universe. The second line of inquiry is related to the analysis of the stability of hedge fund performance over three time horizons: the short term, the medium term and the long term. Our study shows that the persistence of hedge fund performance is not a long-term phenomenon and that the level of persistence is highly dependent on the investment strategy and the performance indicator used.