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Chan, Nicholas - 2005

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial … collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk … trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a …

Persistent link: https://www.econbiz.de/10012467485

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Getmansky, Mila - 2003

will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an …

Persistent link: https://www.econbiz.de/10012469129

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

Hedge Funds and the Asian Currency Crisis of 1997

Brown, Stephen J. - 1998

We test the hypothesis that hedge funds were responsible for the crash in the Asian currencies in late 1997 . To do so, we develop estimates of the changing positions of the largest ten currency funds in one currency, the Malaysian ringgit and to a basket of Asian currencies. Our methodology is...

Persistent link: https://www.econbiz.de/10012472381

Heterogeneity in Target-Date Funds : Optimal Risk-Taking or Risk Matching?

Balduzzi, Pierluigi - 2012

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

Persistent link: https://www.econbiz.de/10012460773

Home Bias and Local Contagion : Evidence from Funds of Hedge Funds

Sialm, Clemens - 2013

This paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweight their investments in hedge funds located in the same geographical areas and that funds of funds with a...

Persistent link: https://www.econbiz.de/10012459091

Managing Public Investment Funds : Best Practices and New Challenges

Mitchell, Olivia S. - 2008

Large publicly-held pools of assets are playing an increasingly prominent role in the global investment arena. We compare three distinct forms of such public funds, namely foreign exchange reserve funds, sovereign wealth funds, and public pension funds, to highlight their differences and...

Persistent link: https://www.econbiz.de/10012464569

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

Do Hedge Funds Profit From Mutual-Fund Distress?

Chen, Joseph - 2008

This paper explores the question of whether hedge funds engage in front-running strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds -- those suffering large outflows of assets under management -- are forced to...

Persistent link: https://www.econbiz.de/10012464861

Slow Moving Capital

Mitchell, Mark - 2007

We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...

Persistent link: https://www.econbiz.de/10012465779