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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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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
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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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The Performance of Hedge Fund Performance Fees
Ben-David, Itzhak - 2020
We study the long-run outcomes associated with hedge funds' compensation structure. Over a 22-year period, the aggregate effective incentive fee rate is 2.5 times the average contractual rate (i.e., around 50% instead of 20%). Overall, investors collected 36 cents for every dollar earned on...
Persistent link: https://www.econbiz.de/10012481649
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Offshore Hedge Funds : Survival and Performance 1989-1995
Brown, Stephen J. - 1997
We examine the performance of the offshore hedge fund industry over the period 1989 through 1995 using a database that includes defunct as well as currently operating funds. The industry is characterized by high attrition rates of funds and little evidence of differential manager skill. We...
Persistent link: https://www.econbiz.de/10012472919
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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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Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
Dor, Arik Ben - 2002
(2001), and Agarwal and Naik (2001), we show how to analyze the investment style of hedge fund managers by including the …
Persistent link: https://www.econbiz.de/10012469600