We examine whether hot hands exist among hedge fund managers. In measuring performance, we use hedge fund style benchmarks. This allows us to control for optionlike features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund's performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the database. While we find significant performance persistence among superior funds we find little evidence of persistence among inferior funds. * We would like to thank