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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2010
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...
Persistent link: https://www.econbiz.de/10012462327
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Detecting Crowded Trades in Currency Funds
Pojarliev, Momtchil - 2010
methodology to measure crowded trades and apply it to professional currency managers. Our results suggest that carry became a … very relevant for investors, managers and regulators …
Persistent link: https://www.econbiz.de/10012462954
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What Happened To The Quants In August 2007? : Evidence from Factors and Transactions Data
Khandani, Amir E. - 2008
During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of...
Persistent link: https://www.econbiz.de/10012464182
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Fooling Some of the People All of the Time : The Inefficient Performance and Persistence of Commodity Trading Advisors
Bhardwaj, Geetesh - 2008
Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data...
Persistent link: https://www.econbiz.de/10012464223
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Do Funds-of-Funds Deserve Their Fees-on-Fees?
Ang, Andrew - 2008
Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases....
Persistent link: https://www.econbiz.de/10012464705
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky, Mila - 2003
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012469129
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Hedge Funds With Style
Brown, Stephen J. - 2001
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their...
Persistent link: https://www.econbiz.de/10012470553
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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed …
Persistent link: https://www.econbiz.de/10012461815
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Indirect Incentives of Hedge Fund Managers
Lim, Jongha - 2013
managers. Flows respond quickly and strongly to performance; lagged performance has a monotonically decreasing impact on flows … times as large as direct incentives from incentive fees and returns to managers' own investment in the fund. For new funds … generated for their investors in a given year, managers receive close to another dollar in direct performance fees plus the …
Persistent link: https://www.econbiz.de/10012459758
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Skill and Fees in Active Management
Stambaugh, Robert F. - 2019
Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more …-skilled managers earn more revenue than less-skilled managers, greater skill for active managers overall can imply less revenue for … their industry. Greater skill allows managers to identify mispriced securities more accurately and thereby make better …
Persistent link: https://www.econbiz.de/10012479976