This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important predictor of hedge-fund performance. The results show that funds that significantly load on … liquidity risk subsequently outperform low-loading funds by about 6.5% annually, on average, over the period 1994-2009, while …

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important predictor of hedge-fund performance. The results show that funds that significantly load on … liquidity risk subsequently outperform low-loading funds by about 6.5% annually, on average, over the period 1994-2009, while …

This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in … aggregate liquidity is an important determinant in the cross- section of hedge-fund returns. The results show that funds that … significantly load on liquidity risk subsequently outperform low-loading funds by about 6% annually, on average, over the period …