Narrow search
Showing 1 - 10 of 100
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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