scholarly journals Risk and Return in Hedge Funds and Funds of Hedge Funds: A Cross-Sectional Approach

2010 ◽  
Author(s):  
Hee Soo Lee
Keyword(s):  
Hedge Funds ◽  
Cross Sectional ◽  
Risk And Return ◽  
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

“Hedge Funds: Risk and Return”: A Comment

2006 ◽  
Vol 62 (2) ◽  
pp. 12-13
Author(s):  
Edward J. Stavetski
Keyword(s):  
Hedge Funds ◽  
Risk And Return

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.

The Information Content of Investors' Expectations for Risk and Return

2013 ◽  
Vol 03 (03n04) ◽  
pp. 1350017
Author(s):  
Thomas Berry ◽  
Keith Jacks Gamble
Keyword(s):  
Information Content ◽  
Personal Experience ◽  
Individual Investors ◽  
Cross Sectional ◽  
Risk And Return ◽  
Stock Performance ◽  
Limited Experience ◽  
Future Risk ◽  
The Cross

This study reveals the information content of individual investors' risk-adjusted return expectations. Although individual investors overestimate the performance of their stock purchases on an average, the cross-sectional variation in their risk-adjusted return expectations is predictive of future risk-adjusted stock performance. Stock purchases that investors expect to outperform the most do outperform the stock purchases that investors expect to outperform the least by an annualized alpha of 16%. The best performing stocks are those that investors with excellent experience expect to outperform the most while the worst performing stocks are those that investors with limited experience expect to outperform the least. The most experienced investors appear to be successfully using information gathered from personal experience with the company's products or services, contact with someone who works for or with the company on a regular basis, and proximity to the company's operations.

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