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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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Financial Sector Tail Risk and Real Economic Activity : Evidence from the Option Market
Neumann, Michael - 2014
This paper documents that option-implied tail risk in the U.S. financial sector predicts real economic activity. The predictability is found to be incremental to the information content in a stock price-based measure of financial sector tail risk. This finding holds both in- and out-of-sample...
Persistent link: https://www.econbiz.de/10013046378
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Total Return Meltdown : The Case for Treating Total Return Swaps as Disguised Secured Transactions
Marks, Colin P. - 2022
Archegos Capital Management, at its height, had $20 billion in assets. But in the spring of 2021, in part through its …
Persistent link: https://www.econbiz.de/10013295797
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Do Prime Brokers Induce Similarities in Hedge Funds Performance?
Gerasimova, Nataliya - 2018
Early studies show that hedge fund performance is correlated across funds. I empirically document that similarities in hedge fund returns are associated with the presence of the same prime broker. Using data on prime brokerage relationships from 2000 to 2012, I estimate that dealing with the...
Persistent link: https://www.econbiz.de/10012937484
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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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Aggregate Hedge Funds Flows and Returns
Beltratti, Andrea - 2013
In the paper a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as unobserved...
Persistent link: https://www.econbiz.de/10013095965
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Mutual Fund Performance When Parent Firms Simultaneously Manage Hedge Funds
Cici, Gjergji - 2010
evidence does not allow us to rule out the possibility that management firms maximized fee income by strategically transferring …
Persistent link: https://www.econbiz.de/10013149684
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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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Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Eling, Martin; Schuhmacher, Frank - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...
Persistent link: https://www.econbiz.de/10005861515