We document strong comovement in the returns of hedge funds sharing the same prime broker. This comovement is driven neither by funds in the same family nor in the same style, and it is distinct from market-wide and local comovement. The common information hypothesis attributes this phenomenon...

We provide an empirical analysis of two important phenomena influencing the hedge fund industry - contagion and time variation in risk adjusted return (alpha) - in a flexible unified framework. After accounting for standard hedge fund pricing factors, we quantify the common latent factor in...