Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative exposure to changes in funding illiquidity...

We design a new test for diseconomies of scale at the mutual fund level, and document that quarterly changes in fund performance are negatively related to lagged predicted fund flows. The effect is economically and statistically significant for both inflows and outflows. Results hold for factor...

We suggest a new measure to evaluate hedge funds - relative alpha. It links each hedge fund to a group of its peers in a straightforward, semi-parametric way. We allow for omitted factors, yet do not require knowledge of the true factor structure nor do we need to estimate any factor model. We...

Pension funds only explored alternative assets quite recently, prodded by financial crises which devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of...