Risk Management Research Report (RMRR) surveys and screens the flow of academic articles on risk management and presents extended scholarly summaries of today's most important scholarly work in a convenient format on a timely basis. Each issue features approximately 15 of the most important...

This paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for styles, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with...

This paper analyzes the risk-return trade-off in the hedge fund industry. We compare semi-deviation, value-at-risk (VaR), Expected Shortfall (ES), and Tail Risk (TR) with standard deviation at the individual fund level as well as the portfolio level. Using the Fama and French (1992) methodology...

Contrary to offshore hedge funds, US-registered (ldquo;onshorerdquo;) funds are subject to strict marketing prohibitions, accredited investor requirements, limited number of investors, and tax disadvantage. We exploit this difference to test predictions about organizational design, capital flow,...

We undertake a comprehensive analysis of onshore and offshore hedge funds to study the effects of fund regulation and investor clienteles on a fund's share restrictions, asset liquidity, flow-performance sensitivity, and performance. Liquid asset holdings and share restrictions on investor...

The rapid growth of hedge funds in recent years has been accompanied by cases of severe failure. Since the aftermath of Long Term Capital Management (LTCM), investors recognize that hedge funds may provide high expected returns but they might be exposed to a huge downside risk that is not easily...

The rapid growth of hedge funds in recent years has been accompanied by cases of severe failure. Since the aftermath of Long Term Capital Management (LTCM), investors recognize that hedge funds may provide high expected returns but they might be exposed to a huge downside risk that is not easily...

Due to imperfect transparency and costly auditing, trust is an essentialcomponent of financial intermediation. In this paper we study acomprehensive sample of due diligence reports from a major hedge funddue diligence firm. A routine feature of due diligence is an assessmentof integrity. We find...