Selectivity and Timing Performance of Funds of Hedge Funds: A Time-Varying Approach

2008 ◽  
Author(s):  
Marco Rummer ◽  
Oliver Alexander Schwindler
Keyword(s):  
Hedge Funds ◽  
Time Varying ◽  
Funds Of Hedge Funds

Rank Alpha Funds of Hedge Funds

CFA Digest ◽  
2006 ◽  
Vol 36 (2) ◽  
pp. 13-15
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Funds ◽  
Funds Of Hedge Funds

scholarly journals HEDGE FUNDS: RISK AND PERFORMANCE

2018 ◽  
Vol 06 (01) ◽  
pp. 1850003
Author(s):  
SANGHEON SHIN ◽  
JAN SMOLARSKI ◽  
GÖKÇE SOYDEMIR
Keyword(s):  
Risk Factors ◽  
Hedge Funds ◽  
Factor Model ◽  
Explanatory Power ◽  
Hedge Fund ◽  
Investment Strategy ◽  
Time Varying ◽  
Asset Class ◽  
And Performance ◽  
Fund Portfolio

This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.

scholarly journals Assessing the Performance of Funds of Hedge Funds

2011 ◽  
Author(s):  
Benoit Dewaele ◽  
Hugues Pirotte ◽  
Nils Tuchschmid ◽  
Erik Wallerstein
Keyword(s):  
Hedge Funds ◽  
Funds Of Hedge Funds

Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

2018 ◽  
Vol 54 (6) ◽  
pp. 2355-2381 ◽  
Author(s):  
Vikas Agarwal ◽  
George O. Aragon ◽  
Zhen Shi
Keyword(s):  
Hedge Funds ◽  
Financial Fragility ◽  
Funds Of Hedge Funds

We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs’ incentives to attract more capital and earn higher compensation. Greater liquidity transformation is associated with higher exposure to investor runs and worse performance during crisis periods. Finally, FoFs mitigate the risks associated with liquidity transformation by maintaining higher cash buffers.

Sign in / Sign up

Export Citation Format

Share Document