The Dynamics of Hedge Fund Share Restrictions

CFA Digest ◽  
2015 ◽  
Vol 45 (2) ◽  
Author(s):  
Richard D. Long
Keyword(s):  
Hedge Fund ◽  
Share Restrictions

Share Restrictions and Investor Flows in the Hedge Fund Industry

2009 ◽  
Author(s):  
Bill Ding ◽  
Mila Getmansky ◽  
Bing Liang ◽  
Russ R. Wermers
Keyword(s):  
Hedge Fund ◽  
Share Restrictions ◽  
Fund Industry

Share Restrictions and Investor Flows in the Hedge Fund Industry

2015 ◽  
Author(s):  
Mila Getmansky ◽  
Bing Liang ◽  
Christopher Schwarz ◽  
Russ Wermers
Keyword(s):  
Hedge Fund ◽  
Share Restrictions ◽  
Fund Industry

scholarly journals Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis

2021 ◽  
Vol 2021 (037) ◽  
pp. 1-68
Author(s):  
Mathias S. Kruttli ◽  
◽  
Phillip J. Monin ◽  
Lubomir Petrasek ◽  
Sumudu W. Watugala ◽  
...  
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Cash Holdings ◽  
Liquidity Management ◽  
Regulatory Constraints ◽  
Relative Value ◽  
Share Restrictions ◽  
Arbitrage Trading ◽  
Hedge Fund Returns

Hedge fund gross U.S. Treasury (UST) exposures doubled from 2018 to February 2020 to $2.4 trillion, primarily driven by relative value arbitrage trading and supported by corresponding increases in repo borrowing. In March 2020, amid unprecedented UST market turmoil, the average UST trading hedge fund had a return of -7% and reduced its UST exposure by close to 20%, despite relatively unchanged bilateral repo volumes and haircuts. Analyzing hedge fund-creditor borrowing data, we find the large, more regulated dealers provided disproportionately more funding during the crisis than other creditors. Overall, the step back in hedge fund UST activity was primarily driven by fund-specific liquidity management rather than dealer regulatory constraints. Hedge funds exited the turmoil with 20% higher cash holdings and smaller, more liquid portfolios, despite low contemporaneous outflows. This precautionary flight to cash was more pronounced among funds exposed to greater redemption risk through shorter share restrictions. Hedge funds predominantly trading the cash-futures basis faced greater margin pressure and reduced UST exposures and repo borrowing the most. After the market turmoil subsided following Fed intervention, hedge fund returns recovered quickly, but UST exposures did not revert to pre-shock levels over the subsequent months.

The European hedge funds industry: An empirical analysis of performance, liquidity, and growth

2021 ◽  
Vol 5 (2) ◽  
pp. 89-101
Author(s):  
Soumaya Ben Khelifa
Keyword(s):  
Hedge Funds ◽  
Economic Value ◽  
Hedge Fund ◽  
Liquidity Risk ◽  
Fund Performance ◽  
Market Liquidity ◽  
Share Restrictions ◽  
And Performance ◽  
Hedge Fund Performance ◽  
Analysis Of Performance

While the performance of hedge funds has grabbed much attention from researchers, a few studies have been conducted on the drivers of hedge fund liquidity and performance (Shaub & Schmid, 2013). This study proposes new approaches to investigate the effect of share restrictions on European hedge fund performance and liquidity. We run different regressions of 1) returns, 2) flows, and 3) exposure to market liquidity risk on share restrictions, managerial incentives, and a set of control variables as independent variables. Using a sample of 1423 European hedge funds, our results suggest that restrictions imposed by European hedge funds add economic value to investors. Furthermore, we find that European hedge funds with strong share restrictions take on lower liquidity risk. There is a weak difference in liquidity risk exposure across directional European hedge funds with and without share restrictions. In addition, European hedge funds’ experience, large outflows during a crisis, and all share restrictions do not seem to be significantly related to funding flows in the crisis period, as well as in times of non-crisis. Finally, only the groups of young funds are associated with significant funds exposure to market liquidity risk

scholarly journals Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions

2018 ◽  
Vol 53 (5) ◽  
pp. 2199-2225 ◽  
Author(s):  
Zheng Sun ◽  
Ashley W. Wang ◽  
Lu Zheng
Keyword(s):  
Performance Measures ◽  
Hedge Fund ◽  
Fund Performance ◽  
Performance Persistence ◽  
Market Conditions ◽  
Share Restrictions ◽  
Hedge Fund Performance ◽  
Sector Returns

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets but is not persistent following strong markets. Specifically, we construct two performance measures, RET_DOWN and RET_UP, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest RET_DOWN quintile outperform funds in the lowest quintile by approximately 7% in the subsequent year, whereas funds with better RET_UP do not outperform subsequently. The RET_DOWN measure can predict future fund performance over a horizon as long as 3 years, for both winners and losers and for funds with few share restrictions.

Hidden Hedge Fund Risks Jeopardize Unknowing Investors

CFA Magazine ◽  
2003 ◽  
Vol 14 (3) ◽  
pp. 52-53
Author(s):  
Crystal Detamore-Rodman
Keyword(s):  
Hedge Fund
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