Funding Liquidity, Crises and Hedge Fund Risk

2009 ◽  
Author(s):  
Monica Billio ◽  
Mila Getmansky ◽  
Andrew W. Lo ◽  
Loriana Pelizzon
Keyword(s):  
Hedge Fund ◽  
Funding Liquidity ◽  
Liquidity Crises ◽  
Hedge Fund Risk

Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups

2016 ◽  
Author(s):  
Adam L. Aiken ◽  
Christopher P. Clifford ◽  
Jesse A. Ellis ◽  
Qiping Huang
Keyword(s):  
Hedge Fund ◽  
Liquidity Risk ◽  
Funding Liquidity

Calculating hedge fund risk: the draw down and the maximum draw down

2004 ◽  
Vol 11 (3) ◽  
pp. 259-282 ◽  
Author(s):  
Alessio Sancetta ◽  
Steve E. Satchell
Keyword(s):  
Hedge Fund ◽  
Hedge Fund Risk

Can Liquidity Risk Explain Diseconomies of Scale in Hedge Funds?

2017 ◽  
Vol 07 (02) ◽  
pp. 1750002
Author(s):  
Hany A. Shawky ◽  
Ying Wang
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Liquidity Risk ◽  
Fund Performance ◽  
Diseconomies Of Scale ◽  
Liquidity Crises ◽  
Using Data ◽  
Asset Size ◽  
Hedge Fund Performance

Using data from the Lipper TASS hedge fund database over the period 1994–2012, we examine the role of liquidity risk in explaining the relation between asset size and hedge fund performance. While a significant negative size-performance relation exists for all hedge funds, once we stratify our sample by liquidity risk, we find that such a relationship only exists among funds with the highest liquidity risk. Liquidity risk is found to be another important source of diseconomies of scale in the hedge fund industry. Evidently, for high liquidity risk funds, large funds are less able to recover from the relatively more significant losses incurred during market-wide liquidity crises, resulting in lower performance for large funds relative to small funds.

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