Investors in hedge funds face several trading restrictions related to the funds' common investment terms and conditions. A prominent form of illiquidity risk is the advance notice period. We analyze the impact of the advance notice period on hedge fund performance persistence. Using a sample of 4,788 hedge funds over a period from 1994 to 2008, we find that accounting for individual funds' advance notice periods has a severe negative impact on the performance persistence of hedge funds. In fact, the proportion of significantly persistent funds declines substantially when incorporating the advance notice period, especially for short time horizons of up to three months. Our results suggest that a considerable part of hedge fund performance persistence is related to asset class-specific terms and conditions, raising serious doubts about the existence of short-term performance persistence in practice.