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The CISDM database has been the subject of many academic studies; see, for example, Capocci, D. and Hübner, G. (2004) Analysis of hedge fund performance. Journal of Empirical Finance 11: 55–89.

Ding, B. and Shawky, H.A. (2007) The performance of hedge fund strategies and the asymmetry of return distributions. European Financial Management 13: 309–331, We also conducted the empirical analysis with the ehedge database used in Eling and Schuhmacher13 and found that our results are robust with regard to a variation of the data set (results are available under request). Eling and Schuhmacher13 also used the CISDM data (analyzed in this article) as a robustness test in their study in order to see whether their finding is driven by the data set used; they found robust results as well which confirms our findings. Note that the standard deviation of the monthly returns is on average higher in the CISDM database (4.37 per cent) compared to the ehedge database (3.18 per cent; see Eling and Schuhmacher, p. 2638).13 Possible explanations for this might be differences in database composition and investigation period.

These values are in the range of the high rank correlations found by Eling and Schuhmacher;13 this finding therefore again confirms the results presented by them.