Aggregate Hedge Fund Flows and Asset Returns

2008 ◽  
Author(s):  
Ashley Wang ◽  
Lu Zheng
Keyword(s):  
Hedge Fund ◽  
Asset Returns ◽  
Fund Flows

Boom and Bust Driven by Value-at-Risk

2019 ◽  
pp. 28-55
Author(s):  
Hyun Song Shin
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Hedge Fund ◽  
Balance Sheet ◽  
Asset Returns ◽  
Expected Returns ◽  
Capital Management ◽  
A Value ◽  
Boom And Bust

An example of a hedge fund illustrates a long-short strategy that maximises expected returns subject to a Value-at-Risk strategy. Balance sheet capacity depends on the measured volatility of asset returns and the book equity of the long-short hedge fund. The principles are illustrated by the case of Long Term Capital Management (LTCM).

scholarly journals Hedge Fund Flows and Performance Streaks: How Investors Weigh Information

2021 ◽  
Author(s):  
Guillermo Baquero ◽  
Marno Verbeek
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Cash Flows ◽  
Fund Flows ◽  
Hot Hand ◽  
Highly Sensitive ◽  
Wide Range ◽  
Processing Abilities ◽  
And Performance ◽  
Types Of Information

Cash flows to hedge funds are highly sensitive to performance streaks, a streak being defined as subsequent quarters during which a fund performs above or below a benchmark, even after controlling for a wide range of common performance measures. At the same time, streaks have limited predictive power regarding future fund performance. This suggests investors weigh information suboptimally, and their decisions are driven too strongly by a belief in continuation of good performance, consistent with the “hot hand fallacy.” The hedge funds that investors choose to invest in do not perform significantly better than those they divest from. These findings are consistent with overreaction to certain types of information and do not support the notion that sophisticated investors have superior information or superior information processing abilities. This paper was accepted by David Simchi-Levi, finance.

scholarly journals Alpha or beta in the eye of the beholder: What drives hedge fund flows?

2018 ◽  
Vol 127 (3) ◽  
pp. 417-434 ◽  
Author(s):  
Vikas Agarwal ◽  
T. Clifton Green ◽  
Honglin Ren
Keyword(s):  
Hedge Fund ◽  
Fund Flows

Hedge Fund Flows and Contagion in Financial Markets

2007 ◽  
Author(s):  
Bill Ding ◽  
Mila Getmansky ◽  
Bing Liang ◽  
Russ R. Wermers
Keyword(s):  
Financial Markets ◽  
Hedge Fund ◽  
Fund Flows

Hedge Fund Flows

2021 ◽  
pp. 63-86
Author(s):  
Guillermo Baquero ◽  
Marno Verbeek
Keyword(s):  
Hedge Fund ◽  
Operational Risk ◽  
Capacity Constraints ◽  
Fund Flows ◽  
Past Performance ◽  
Subsequent Performance ◽  
Fund Managers ◽  
Managerial Skill ◽  
Expected Performance

Hedge fund flows characterize the average opinion of hedge fund investors about managerial skill, expected performance, financial and operational risk. However, liquidity restrictions hamper the ability of investors to rapidly switch from one fund to another. In addition, capacity constraints at the fund or style level may imply that future returns decrease when more money is allocated to a given hedge fund. In this chapter, we provide a detailed overview of what are the drivers, and limitations, of hedge fund flows, how flows are related to measures of past performance, and to what extent flows are able to predict subsequent performance. We also discuss some implications of these relationships, for example in terms of incentives to fund managers.

The Life Cycle of Hedge Funds

2017 ◽  
Author(s):  
Mila Getmansky Sherman ◽  
Rachel (Kyungyeon) Koh
Keyword(s):  
Life Cycle ◽  
Hedge Funds ◽  
Risk Measures ◽  
Hedge Fund ◽  
Nonlinear Function ◽  
Fund Flows ◽  
Related Factors ◽  
Thomson Reuters ◽  
The Right ◽  
Asset Size

This chapter analyzes the life cycle of hedge funds. Analysis using the Thomson Reuters Lipper TASS database reveals industry-related and fund-specific factors affecting the survival probabilities of hedge funds. Analysis of hedge fund flows and asset sizes can offer insights into a fund’s future survival. Fund performance is a nonlinear function of a fund’s asset size. A fund can obtain an optimal asset size by balancing the effects of past returns, fund flows, market impact, and competition. Competition among hedge funds using similar strategies presents challenges. To survive, funds employ dynamic strategies, move nimbly from market to market, and develop unique strengths. Being an effective market and strategy timer is critical because funds using the right strategy at the right time are more likely to survive. The chapter also analyzes the last stage of the hedge fund life cycle—liquidation or closure. Fund characteristics, risk measures, and style-related factors can help predict fund liquidation.

The Oxford Handbook of Hedge Funds

2021 ◽  
Keyword(s):  
Hedge Funds ◽  
Optimal Taxation ◽  
Private Equity ◽  
Hedge Fund ◽  
Global Perspective ◽  
Fund Flows ◽  
Theoretical Approaches ◽  
The Us ◽  
Hedge Fund Activism ◽  
The Impact

The Oxford Handbook of Hedge Funds provides a comprehensive look at the hedge fund industry from a global perspective. The chapters are organized into five main parts. After the introductory chapter in Part I, Part II begins in Chapter 2 with an analysis of the main factors that have affected the operation of hedge funds. Chapter 3 explains the concept of hedge fund flows. Chapter 4 examines hedge fund manager fees and contracts. Part III focuses on different types of hedge fund strategies. The broad array of strategies are summarized in Chapter 5. Chapter 6 empirically examines the performance of hedge fund strategies. Chapter 7 compares the strategies of hedge funds to private equity funds. Chapter 8 examines hedge fund herding. Chapter 9 examines hedge fund commodity trading advisors and leverage. Chapter 10 examines financial technology in hedge fund strategies. In Part IV, hedge fund activism in the US is examined in Chapter 11. The US and international literature on hedge fund activism is reviewed in different perspectives in Chapters 12 and 13. Case studies are provided in Chapter 14. The impact of activism on large company innovation is discussed in Chapter 15. In Part V, Chapter 16 examines whether hedge funds may engage in misreporting and fraud. Chapter 17 reviews work on hedge fund misconduct and detection. Chapter 18 discusses compliance among hedge funds. Chapter 19 examines theoretical approaches to hedge fund regulation. Chapter 20 examines optimal taxation. Chapter 21 examines hedge funds from a political economy context.

Hedge Fund Flows and Name Gravitas

2017 ◽  
Author(s):  
Juha Joenvvvrr ◽  
Cristian Ioan Tiu
Keyword(s):  
Hedge Fund ◽  
Fund Flows
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