The issue of performance measurement in the hedge fund industry is a source of abundant and controversial literature. The explanation for this complexity lies in the particular features of alternative funds. Hedge funds invest in a eterogeneous range of financial assets and cover a wide range of strategies which have different risk and return profiles. Even though the current studies on hedge fund performance appear to be confusing, due to conflicting conclusions and criticism of the methods employed in previous papers, they contribute to an improvement in the knowledge of alternative funds, and leading approaches are confirmed. The aim of this paper is to highlight some specific characteristics of hedge funds and their implications in terms of performance measurement. The most recent innovative contributions are reported.