Style Investing: Investor Sentiment in Aggregate Hedge Fund Flows

2006 ◽  
Author(s):  
G. Baquero ◽  
Marno Verbeek
Keyword(s):  
Hedge Fund ◽  
Investor Sentiment ◽  
Fund Flows ◽  
Style Investing

Investor Sentiment and Flows into Treasury Funds

2018 ◽  
Keyword(s):  
Mutual Funds ◽  
Financial Market ◽  
Mutual Fund ◽  
Explanatory Power ◽  
Investor Sentiment ◽  
Fund Flows ◽  
Inflation Expectations ◽  
Relative Response ◽  
Financial Market Risk ◽  
Blue Chip

The author compares the relative response of Treasury fund flows to the sentiment-prone Michigan Survey of Inflation Expectations and to the Blue Chip Survey of Financial Forecasts, a professional forecast of inflation. The Treasury market is an ideal subject for examining whether or not sentiment affects flows: it is highly liquid, making it unlikely that it is hard to arbitrage, and inflation is the primary factor affecting its returns. Using mutual fund inflows into TIPs and Treasury mutual funds that occurred between January 1991 and June 2011, the author finds that the Michigan Survey is insignificantly related to flows into inflation-indexed TIPs and is positively related to flows into nominal Treasury funds. The Blue Chip Survey does not have incremental explanatory power. The evidence is consistent with a combination of a hedging motive and a flight to liquidity triggered by information in the Michigan Survey about households’ perception of financial market risk. The two motives reinforce each other in driving flows into nominal Treasury funds when the Michigan forecast of inflation is high, while they appear to cancel each other out in determining flows into the illiquid TIPS market.

Measuring investor sentiment with mutual fund flows

2012 ◽  
Vol 104 (2) ◽  
pp. 363-382 ◽  
Author(s):  
Azi Ben-Rephael ◽  
Shmuel Kandel ◽  
Avi Wohl
Keyword(s):  
Mutual Fund ◽  
Investor Sentiment ◽  
Fund Flows ◽  
Mutual Fund Flows

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.

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