scholarly journals Relationship between mutual funds and hedge funds performance in different periods

2018 ◽  
Vol 4 (1) ◽  
pp. 1-14
Author(s):  
G. Lechner ◽  
B. Fauster
Keyword(s):  
Financial Crisis ◽  
Correlation Analysis ◽  
Mutual Funds ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Herding Behavior ◽  
Changing Environment ◽  
Price Informativeness ◽  
Developed Markets

The hedge fund literature has already shown that hedge funds and mutual funds follow a different strategy. One result of the literature was that mutual funds herd into or out of stocks following the herd of hedge funds one quarter later. The aim of this paper is to find out whether herding behavior of mutual funds have changed after the financial crisis. Our paper compares mutual funds and equity hedge funds in general (not only large hedge funds). The hypothesis is that mutual funds are not herding to equity hedge funds as strong as before the crisis. We use OLS regressions and correlation analysis to test the aforementioned hypothesis. We found that the monthly returns of hedge funds and mutual funds have synchronized in developed markets after the financial crisis. Therefore, the argument that mutual funds herd hedge funds is at least not as strong as before. The improving effectiveness and price informativeness could be an explanation for this changing environment.

What Constrains Liquidity Provision? Evidence from Institutional Trades*

2020 ◽  
Author(s):  
Efe Çötelioğlu ◽  
Francesco Franzoni ◽  
Alberto Plazzi
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Past Performance ◽  
Stock Level ◽  
Liquidity Provision ◽  
Financial Conditions ◽  
Level Data

Abstract The article studies liquidity provision by institutional investors using trade-level data. We find that hedge fund trades are a more important predictor of stock-level liquidity than mutual fund trades. However, hedge funds’ liquidity provision is more exposed to financial conditions than that of mutual funds. Hedge funds that are more constrained in terms of leverage, age, asset illiquidity, and past performance exhibit a stronger shift toward liquidity consumption when funding condition tighten. Stocks with more exposure to constrained liquidity providing hedge funds suffered more during the financial crisis.

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

2020 ◽  
Vol 66 (12) ◽  
pp. 5505-5531 ◽  
Author(s):  
Mark Grinblatt ◽  
Gergana Jostova ◽  
Lubomir Petrasek ◽  
Alexander Philipov
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Short Sales ◽  
Fund Managers ◽  
Liquidity Provision ◽  
Stock Picking ◽  
Hedge Fund Performance

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

scholarly journals Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds

2009 ◽  
Vol 44 (2) ◽  
pp. 273-305 ◽  
Author(s):  
Vikas Agarwal ◽  
Nicole M. Boyson ◽  
Narayan Y. Naik
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Rapid Growth ◽  
Lower Cost ◽  
Hedge Fund ◽  
Trading Strategies ◽  
Superior Performance ◽  
Retail Investors

AbstractRecently, there has been rapid growth in the assets managed by “hedged mutual funds”—mutual funds mimicking hedge fund strategies. We examine the performance of these funds relative to hedge funds and traditional mutual funds. Despite using similar trading strategies, hedged mutual funds underperform hedge funds. We attribute this finding to hedge funds’ lighter regulation and better incentives. Conversely, hedged mutual funds outperform traditional mutual funds. Notably, this superior performance is driven by managers with experience implementing hedge fund strategies. Our findings have implications for investors seeking hedge-fund-like payoffs at a lower cost and within the comfort of a regulated environment.

Assessing foreign funds geographical focus timing skill

2016 ◽  
Vol 33 (2) ◽  
pp. 209-221
Author(s):  
Javier Rodríguez ◽  
Herminio Romero
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Hedge Funds ◽  
Design Methodology ◽  
Global Financial Crisis ◽  
Market Timing ◽  
Content Type ◽  
Fund Managers ◽  
The Usa ◽  
Timing Models

Purpose This paper aims to study the market timing skill of USA-based foreign open-end mutual funds in their geographical focus market. Design/methodology/approach The authors use daily fund data and two multi-factor extensions of the Treynor-Mazuy (1966) and Henriksson-Merton (1981) timing models to measure US-based foreign funds’ market timing skill during 1999 to 2010. In particular, the authors study fund managers’ skill to time their geographical focus market. Findings The authors report that, in general, foreign funds do not accurately time their geographical focus market. However, during January 2008 to December 2010, the sub period that includes the 2008 global financial crisis, most foreign funds in this sample not only focused on their domestic market, the USA, but also demonstrated statistically significant, good timing skill. Originality/value Although US-based foreign funds’ market-timing skill is not an unexplored topic, this study is the first to consider these funds’ skill to time their geographical focus market, a skill that has been studied in the context of hedge funds.

scholarly journals Desempenho e Persistência de Hedge Funds Brasileiros Durante a Crise Financeira

2011 ◽  
Vol 9 (4) ◽  
pp. 525
Author(s):  
Gustavo Passarelli Giroud Joaquim ◽  
Marcelo Leite Moura
Keyword(s):  
Financial Crisis ◽  
Great Depression ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Abnormal Returns ◽  
The Great Depression ◽  
Daily Data ◽  
Time Frames

This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world’s worst financial crisis since the great depression of the 1930s. Despite the financial turmoil, the results indicate the existence of a representative group of funds with abnormal returns and evidence of a joint persistence of funds with time frames of one to three months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.

Hedge Funds and Herding Behavior

2021 ◽  
pp. 190-214
Author(s):  
Neil M. Kellard
Keyword(s):  
Hedge Funds ◽  
Institutional Investors ◽  
Hedge Fund ◽  
Industry Structure ◽  
Sociological Perspective ◽  
Herding Behavior ◽  
Fund Managers ◽  
Trading Patterns ◽  
Potential Market ◽  
Network Risk

This chapter examines whether hedge funds herd, how this herding occurs, and any potential market wide effects. Bringing together the mainstream finance literature and that from a more management and sociological perspective, it is shown that hedge funds herd, although there is some evidence this is less than other large institutional investors. Mechanistically, such consensus trades occur because hedge firms communicate within tight knit clusters of trusted and smart managers, who share and analyze trading positions together. This industry structure is a function of the hyper decision-making environment faced by hedge fund managers, coupled with a desire for legitimization and to maintain reputation. Finally, note that hedge fund herding can have market wide effects either directly via network risk and indirectly, as follower institutional investors amplify hedge fund trading patterns.

Hedge Funds and Limited Partnership Agreements

2021 ◽  
pp. 86-110
Author(s):  
Na Dai
Keyword(s):  
Financial Crisis ◽  
Current Literature ◽  
Risk Taking ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Fund Performance ◽  
2008 Financial Crisis ◽  
Limited Partnership ◽  
Fund Managers ◽  
The 2008 Financial Crisis

Due to the lack of regulations in the hedge fund industry and the great discretion given to hedge fund managers during the daily operations, limited partnership agreements are the most important if not the only tool for investors to incentivize and monitor hedge fund managers and protect their own interests. This chapter reviews the current literature on hedge funds contractual terms and their implications for fund performance and risk taking, before discussing the variation of the contracts conditional on the jurisdiction of the hedge fund. Finally, the development of hedge funds limited partnership agreements is investigated as many jurisdictions have imposed new regulations on hedge funds after the 2008 financial crisis.

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