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Portfolio Management in Private Equity
Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023
General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we...
Persistent link: https://www.econbiz.de/10014372421
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The Conundrum of Hedge Fund Definition
Nabilou, Hossein - 2017
This Article attempts to define hedge funds and to distinguish them from a variety of similar investment funds. After reviewing the hedge fund definition in the U.S. and the EU, this Article argues that the current regulatory framework, which defines hedge funds by reference to what they are not...
Persistent link: https://www.econbiz.de/10012968010
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Limits to Arbitrage : Time-Varying Market Neutrality of Hedge Funds
Siegmann, Arjen - 2013
Little is known about the exact sources and risks of hedge fund's market neutral strategies. Based on existing views on arbitrage trading, such as done by hedge funds, we formulate and test a hypothesis that market neutrality is affected by market-wide liquidity. We find that such is the case...
Persistent link: https://www.econbiz.de/10013095650
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The Economics of Hedge Funds : Alpha, Fees, Leverage, and Valuation
Lan, Yingcong - 2011
Hedge fund managers are compensated via management fees on the assets under management (AUM) and incentive fees indexed … only paid via management fees, the manager optimally chooses time-invariant leverage to balance the size of allocation to … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking …
Persistent link: https://www.econbiz.de/10013130583
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Hedge fund performance during and after the crisis : a comparative analysis of strategies 2007-2017
Metzger, Nicola; Shenai, Vijay - In: International Journal of Financial Studies : open … 7 (2019) 1/15, pp. 1-31
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after...
Persistent link: https://www.econbiz.de/10012038535
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Hedge Funds : Performance, Risk Management, and Impact on Asset Markets
Agarwal, Vikas; Ren, Honglin - 2023
Hedge funds are dynamic, versatile, opaque, and, according to BarclayHedge, their assets under management have nearly … management practices of hedge funds. Particularly, studies have focused on systematic risk, liquidity risk, and financial … take on and implications of risk taking on fund performance, factors related to heterogeneous risks, and risk management …
Persistent link: https://www.econbiz.de/10014355695
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Uncovering hedge fund skill from the portfolio holdings they hide
Agarwal, Vikas; Jiang, Wei; Tang, Yuehua; Yang, Baozhong - 2011 - First Draft: August, 2009, This Draft: May, 2011
This paper studies the "confidential holdings" of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to the Form 13F and are usually excluded from the standard databases. Evidence supports private information as...
Persistent link: https://www.econbiz.de/10009705477
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Are 'Market Neutral' Hedge Funds Really Market Neutral?
Patton, Andrew J. - 2004
One can consider the concept of market neutrality as having quot;breadthquot; and quot;depthquot;: quot;Breadthquot; reflects the number of market risks to which the hedge fund is neutral, while quot;depthquot; reflects the quot;completenessquot; of the neutrality of the fund to market risks. We...
Persistent link: https://www.econbiz.de/10012738178
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Too Big to Ignore? Hedge Fund Flows and Bond Yields
Kolokolova, Olga - 2017
This paper investigates the information content of aggregate hedge fund flow and its predictive power with respect to bond yields. Using a sample of 9,725 hedge funds from 1994 to 2012, we find that fund flow is negatively related to the changes in 10-year Treasury and Moody's Baa bond yields...
Persistent link: https://www.econbiz.de/10012972514
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Illuminating Hedge Fund Returns to Improve Portfolio Construction
Mladina, Peter - 2017
In this article the authors present an applied portfolio factor model that illuminates the risk and return drivers of broad hedge fund strategies, from the opportunity-cost perspective of a portfolio investor who owns traditional assets. The authors demonstrate how to interpret and use key...
Persistent link: https://www.econbiz.de/10012957727