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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/10013138476

Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis

Ben Dor, Arik - 2009

(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/10012767813

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/10012769640

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

Getmansky Sherman, Mila - 2010

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/10012762841

Offshore Hedge Funds : Survival and Performance 1989-1995

Brown, Stephen J. - 2010

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/10012763669

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/10012787775

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 … assets - among hedge funds. Further research in this area might be very relevant for investors, managers and regulators …

Persistent link: https://www.econbiz.de/10013148380

The Performance of Hedge Fund Performance Fees

Ben-David, Itzhak; Birru, Justin; Rossi, Andrea - 2022

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/10013309584

What Happened to the Quants in August 2007? : Evidence from Factors and Transactions Data

Khandani, Amir; Lo, Andrew W. - 2022

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/10014213108

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/10013084738