Hedge Fund Performance: The Role of Non-Normality Risks and Conditional Asset Allocation

2003 ◽  
Author(s):  
Harry M. Kat ◽  
Joelle Miffre
Keyword(s):  
Asset Allocation ◽  
Hedge Fund ◽  
Fund Performance ◽  
Hedge Fund Performance

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.

scholarly journals Role of Managerial Incentives and Discretion in Hedge Fund Performance

2009 ◽  
Vol 64 (5) ◽  
pp. 2221-2256 ◽  
Author(s):  
VIKAS AGARWAL ◽  
NAVEEN D. DANIEL ◽  
NARAYAN Y. NAIK
Keyword(s):  
Hedge Fund ◽  
Managerial Incentives ◽  
Fund Performance ◽  
Hedge Fund Performance

Hedge Fund Performance and Risk

2004 ◽  
Vol 2004 (1) ◽  
pp. 43-50 ◽  
Author(s):  
David A. Hsieh
Keyword(s):  
Hedge Fund ◽  
Fund Performance ◽  
Hedge Fund Performance

Hedge Fund Performance Persistence and Mixed Trading Strategies

2016 ◽  
Author(s):  
Dimitrios Stafylas ◽  
Keith P. Anderson ◽  
Muhammad Moshfique Uddin
Keyword(s):  
Hedge Fund ◽  
Fund Performance ◽  
Trading Strategies ◽  
Performance Persistence ◽  
Hedge Fund Performance
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