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Journal articles on the topic 'Hedge Fund'
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1
Agarwal, Vikas, Nicole M. Boyson, and Narayan Y. Naik. "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds." Journal of Financial and Quantitative Analysis 44, no. 2 (April 2009): 273–305. http://dx.doi.org/10.1017/s0022109009090188.
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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.
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Kolisovas, Danielius, Gintarė Giriūnienė, Tomas Baležentis, Dalia Štreimikienė, and Mangirdas Morkūnas. "DETERMINANTS OF THE NORDIC HEDGE FUND PERFORMANCE." Journal of Business Economics and Management 23, no. 2 (March 29, 2022): 426–50. http://dx.doi.org/10.3846/jbem.2022.16170.
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Hedge funds have become an important part of the financial sector. The development of the hedge funds in the Nordic countries has been rather robust. Therefore, it is important to identify the determinants of the hedge fund performance and isolate the managerial performance, i.e., the Jensen’s alpha. To this end, this paper construct cross sectional and panel model for the Nordic hedge funds over 2005–2018. The Fung-Hsieh 8-factor model and other models are developed to identify the determinants of the Nordic hedge fund performance. The effects of crises of different nature (local to global, hedge funds to banking sector) are also tested. The results indicate that Nordic hedge funds are capable to generate positive alpha during the crisis even exceeding the alpha of the economically stable time periods.
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Acito, Christopher J., and F. Peter Fisher. "Fund of Hedge Funds." Journal of Alternative Investments 4, no. 4 (March 31, 2002): 25–35. http://dx.doi.org/10.3905/jai.2002.319029.
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Muhtaseb, Majed R. "A hedge fund collapse and diversification 101: lessons to stakeholders." Journal of Financial Crime 28, no. 3 (April 6, 2021): 774–83. http://dx.doi.org/10.1108/jfc-09-2020-0198.
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Purpose The purpose of this paper is events and analysis of present a hedge fund collapse, offer lessons to investors and hedge fund industry stakeholders and propose a possible remedy for mitigating operational risks and associated potential losses. Design/methodology/approach This study focused on one hedge fund case study and conducted a thorough investigation of the events that led to the collapse and eventual filing of the Securities and Exchange Commission (SEC) complaint. All articles and publications used for this research are available in the public domain and accessible. Findings Wood River Capital Management had concentrated the portfolios of its two hedge funds into one stock, EndWave Corp. Fund Manager violated terms of offering memorandum. Investors were not made aware of and did not discover the operational risks. Stock price of EndWave plummeted. There was no independent oversight over the funds. The values of the two funds dropped significantly. Investors attempted to redeem but the funds were not liquid. The SEC filed a complaint. Mr Whittier was sentenced for three years in jail. Research limitations/implications It is an analysis of US-based hedge fund, not an empirical paper. The article presents critical analysis and offers many valuable lessons to hedge fund industry stakeholders. Practical implications This paper helps investors in terms of identifying a hedge fund’s operational risks and conducting more effective due diligence while vetting a hedge fund. This could potentially save investors and constituents billions of dollars, by avoiding potential hedge fund collapses. This paper suggests that the scope of fiduciary duty be expanded to cover hedge fund industry vendors. Originality/value Thorough research of a hedge fund that collapsed because of poor investment decisions, not self-enrichment at expense of fund investors. This paper provides lessons to investors in terms of identifying a hedge fund’s critical operational risks and conducting value preserving due diligence. This could potentially save hedge funds investors billions of dollars, by avoiding potential hedge fund collapses. This paper recommends that the scope of fiduciary duty be expanded to cover hedge fund industry vendors.
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Cao, Charles, Bradley A. Goldie, Bing Liang, and Lubomir Petrasek. "What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy." Journal of Financial and Quantitative Analysis 51, no. 3 (June 2016): 929–57. http://dx.doi.org/10.1017/s0022109016000387.
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AbstractTo understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge fund managers’ superior performance is attributed to their ability to manage downside risk.
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Caslin, J. J. "Hedge Funds." British Actuarial Journal 10, no. 3 (August 1, 2004): 441–521. http://dx.doi.org/10.1017/s1357321700002671.
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ABSTRACTThe paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. One of the key characteristics of such a hedge fund is that it has a low correlation with the balanced managed fund. The paper puts forward a new way of explaining correlation so that it can be more readily understood, and suggests methods of analysis for dealing with the fact that correlation is unstable. Volatility correlation is also examined because of its importance in reducing the risk of a portfolio.An outline of the characteristics and risks of three types of hedge funds, namely, long/short equity, convertible arbitrage and merger arbitrage, together with some questions investors might put to prospective hedge fund managers is given in Section 5.Some of the very basic statistical analysis techniques used in assessing the past performance of hedge funds are given in Section 6. Considerable emphasis is put on the need to examine daily return data as an insight into the quality of the manager's IT systems, his risk management, evidence of smoothing of returns, and to gain access to a higher number of data points for assessing the repeatability of performance.An entire section of the paper is devoted to gaining a clear understanding of a prospective hedge fund manager's volatility management strategy because of its importance in the context of the fee structure of hedge funds and its importance for assessing the ability of a hedge fund to reduce the risk and increase the returns of a balanced managed fund.Funds of hedge funds are examined in the final section, and the section concludes that large sophisticated institutional investors may wish to create a portfolio of hedge funds rather than invest in a fund of hedge funds.
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Fadoua, Fadoua. "Design of Single Valued Neutrosophic Hypersoft Set VIKOR Method for Hedge Fund Return Prediction." International Journal of Neutrosophic Science 24, no. 2 (2024): 317–27. http://dx.doi.org/10.54216/ijns.240228.
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The theory of neutrosophic hypersoft set (NHSS) is an appropriate extension of the neutrosophic soft set to precisely measure the uncertainty, anxiety, and deficiencies in decision-making and is a parameterized family that handles sub-attributes of the parameters. In contrast to recent studies, NHSS could accommodate more uncertainty, which is the essential procedures to describe fuzzy data in the decision-making method. Hedge funds are financial funds, finance institutions that increase funds from stockholders and accomplish them. Usually, they try to make certain predictions and work with the time sequence dataset. A hedge fund is heterogeneous in its investment strategies and invests in a different resource class with various return features. Furthermore, hedge fund strategy is idiosyncratic and proprietary to the hedge fund manager, and the correct skills of fund managers are not visible to the stockholders. These reasons, united, make hedge fund selection a complex task for the stockholders. Different techniques have been analyzed to select the portfolio of hedge funds for investment. Machine-learning (ML) models employed used for performing individual hedge fund selection within hedge fund style classifications and forecasting hedge fund returns. Therefore, this study designs a new Single Valued Neutrosophic Hypersoft Set VIKOR Model for Hedge Fund Return Prediction (SVNHSS-HFRP) technique. The presented SVNHSS-HFRP technique aims to forecast the hedge fund returns proficiently. In the SVNHSS-HFRP technique, two stages of operations are involved. At the initial stage, the SVNHSS-HFRP technique, the SVNHSS is used for forecasting the hedge funds. Next, in the second stage, the moth flame optimization (MFO) system is applied to optimally choose the parameter values of the SVNHSS model. The performance validation of the SVNHSS-HFRP model is verified on a benchmark dataset. The experimental values highlighted that the SVNHSS-HFRP technique reaches better performance than existing techniques
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Gregoriou, Greg, François-Éric Racicot, and Raymond Théoret. "The q-factor and the Fama and French asset pricing models: hedge fund evidence." Managerial Finance 42, no. 12 (December 5, 2016): 1180–207. http://dx.doi.org/10.1108/mf-01-2016-0034.
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Purpose The purpose of this paper is to test the new Fama and French (2015) five-factor model relying on a thorough sample of hedge fund strategies drawn from the Barclay’s Global hedge fund database. Design/methodology/approach The authors use a stepwise regression to identify the factors of the q-factor model which are relevant for the hedge fund strategy analysis. Doing so, the authors account for the Fung and Hsieh seven factors which prove very useful in the explanation of the hedge fund strategies. The authors introduce interaction terms to depict any interaction of the traditional Fama and French factors with the factors associated with the q-factor model. The authors also examine the dynamic dimensions of the risk-taking behavior of hedge funds using a BEKK procedure and the Kalman filter algorithm. Findings The results show that hedge funds seem to prefer stocks of firms with a high investment-to-assets ratio (low conservative minus aggressive (CMA)), on the one hand, and weak firms’ stocks (low robust minus weak (RMW)), on the other hand. This combination is not associated with the conventional properties of growth stocks – i.e., low high minus low (HML) stocks – which are related to firms which invest more (low CMA) and which are more profitable (high RMW). Finally, small minus big (SMB) interacts more with RMW while HML is more correlated with CMA. The conditional correlations between SMB and CMA, on the one hand, and HML and RMW, on the other hand, are less tight and may change sign over time. Originality/value To the best of the authors’ knowledge, the authors are the first to cast the new Fama and French five-factor model in a hedge fund setting which account for the Fung and Hsieh option-like trading strategies. This approach allows the authors to better understand hedge fund strategies because q-factors are useful to study the dynamic behavior of hedge funds.
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Butowsky, Michael R., and Michele L. Gibbons. "Hedge fund marketing by broker‐dealers questions and comments in response to recent developments." Journal of Investment Compliance 4, no. 3 (July 1, 2003): 7–12. http://dx.doi.org/10.1108/15285810310813158.
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This article discusses the implications of heightened regulatory attention to hedge funds by focusing on the practical questions that are on the minds of many in the hedge fund industry and, possibly, even in the thoughts of the regulators themselves. The primary regulatory condition relevant to the offer and sale of interests in hedge funds is the prohibition on general solicitation or general advertising by the sponsor of the hedge fund. Under NASD rules, brokers must (1) provide balanced disclosures in their promotional efforts; (2) perform reasonable‐basis suitability determinations; (3) perform customer‐specific suitability determinations; (4) supervise associated persons selling hedge funds and funds of hedge funds; and (5) train associated persons regarding the features, risks, and suitability of hedge funds and funds of hedge funds. Internal controls, including supervision and compliance, must include written procedures to ensure that sales of hedge funds and funds of hedge funds comply with all relevant NASD and SEC rules. Promotion of hedge funds must be balanced by a fair presentation of the risks and potential disadvantages of hedge fund investing
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Li, Haitao, Xiaoyan Zhang, and Rui Zhao. "Investing in Talents: Manager Characteristics and Hedge Fund Performances." Journal of Financial and Quantitative Analysis 46, no. 1 (November 22, 2010): 59–82. http://dx.doi.org/10.1017/s0022109010000748.
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AbstractUsing a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact of manager characteristics, such as education and career concern, on hedge fund performances. We document differential ability among hedge fund managers in either generating risk-adjusted returns or running hedge funds as a business. In particular, we find that managers from higher-SAT (Scholastic Aptitude Test) undergraduate institutions tend to have higher raw and risk-adjusted returns, more inflows, and take fewer risks. Unlike mutual funds, we find a rather symmetric relation between hedge fund flows and past performance, and that hedge fund flows do not have a significant negative impact on future performance.
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Muhtaseb, Majed R. "Fraud against hedge funds: implications to operational risk and due diligence." Journal of Financial Crime 27, no. 1 (January 24, 2020): 67–77. http://dx.doi.org/10.1108/jfc-03-2019-0032.
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Purpose The loss of an amount in excess of $100m cash deposit can be disruptive to the operations, definitely the liquidity of the hedge fund. Should a hedge fund liquidity position deteriorate, its compromised solvency could impact its vendors, most notably creditors and prime brokers. Large successful hedge funds do make basic mistakes. Lawyer Marc Dreier committed the criminal act of selling fraudulent promissory notes to hedge funds and others. Mr Drier’s success in selling fraudulent promissory notes was facilitated by his accomplices who posed as fake representatives of legitimate institutions. Drier and team presented bogus “audited financial statements” and forged developer’s signatures, and even went as far as using the unsuspecting institutions’ premises for meetings to meet potential notes buyers to further falsely legitimize the scheme. He had the notes buyers send their payments to his law firm account, to secure the money. His actions cost his victims, who include 13 hedge fund managers, other investors and entities, $400m in addition to his law firm’s employees who also suffered when his law firm was dissolved. For his actions, he was sentenced 20 years in federal prison for investment fraud. This study aims to direct hedge fund investors and other stakeholders to thoroughly vet the compliance function, especially controls on cash disbursements, even if the hedge fund is sizable (in excess of $1bn). Investors and even other stakeholders also should place a greater focus on what is usually overlooked issue; most notably the credit quality and authenticity of short-term investments bought by their hedge funds. Design/methodology/approach A thorough investigation of a fraud committed by a lawyer against a number of hedge funds. Several important lessons are identified to professionals who conduct due diligence on hedge funds. Findings The details of the case are very remarkable. This case directs investors’ attention to place greater efforts on certain aspects of operational risk and due diligence on not only hedge funds but also other investment managers. Normally investors conduct operational due diligence on the fund and its operations. Investors also vet fund external parties such as prime brokers, custodians, accountants and fund administrators. Yet, investors normally do not suspect the quality of short-term fund investments. In this case, the short-terms investments were the source of unforeseen yet substantial risk. Research limitations/implications Stakeholders in hedge funds need to carefully investigate the issuer of and the quality of short-term investments that a hedge fund invests in. Future research can investigate the association of hedge fund manager failure with a liquidity position of the fund. Practical implications Investors must thoroughly the entirety of the fund including short-term securities. Originality/value Normally, it is the hedge funds that commit the fraud against investors. In this case, it is the multi-billion hedge funds run by sophisticated fund managers, who are the victims.
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Zheng, Yao, and Eric Osmer. "The Relationship between Hedge Fund Performance and Stock Market Sentiment." Review of Pacific Basin Financial Markets and Policies 21, no. 03 (September 2018): 1850016. http://dx.doi.org/10.1142/s0219091518500169.
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We examine the dynamic effect of aggregate stock market sentiment on the performance of various hedge fund styles. We find that hedge funds typically perform better during periods of optimistic sentiment and that for different hedge fund styles there is a differential response of hedge fund returns to positive and negative sentiment shocks. We also find that changes in aggregate investor sentiment have a larger effect on hedge fund performance during periods of high conditional volatility. Our results suggest there is a strong asymmetry in the relationship between hedge fund performance and investor sentiment.
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Muhtaseb, Majed R., and Chun Chun “Sylvia” Yang. "Portraits of five hedge fund fraud cases." Journal of Financial Crime 15, no. 2 (May 9, 2008): 179–213. http://dx.doi.org/10.1108/13590790810866890.
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PurposeThe purpose of this paper is two fold: educate investors about hedge fund managers' activities prior to the fraud recognition by the authorities and to help investors and other stakeholders in the hedge fund industry identify red flags before fraud is actually committed.Design/methodology/approachThe paper investigates fraud committed by the Bayou Funds, Beacon Hill Asset Management, Lancer Management Group (LMG), Lipper & Company and Maricopa investment fund. The fraud activities took place during 2000 and 2005.FindingsThe five cases alone cost the hedge fund investors more than $1.5 billion. Investors may have had a good opportunity for avoiding the irrecoverable costs of the fraud had they carefully vetted the backgrounds of the hedge fund managers and/or continuously monitored the funds activities, especially during turbulent market environments.Originality/valueThis is the first research paper to identify and extensively investigate fraud committed by hedge funds. In spite of the size of the hedge fund industry and relatively substantial level and inevitably recurring fraud, academic journals are to yet address this issue. The paper is of great value to hedge funds and their individual and institutional investors, asset managers, financial advisers and regulators.
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Kruttli, Mathias S., Phillip J. Monin, Lubomir Petrasek, and Sumudu W. Watugala. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis." Finance and Economics Discussion Series 2021, no. 037 (June 23, 2021): 1–68. http://dx.doi.org/10.17016/feds.2021.038.
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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.
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Getmansky, Mila. "The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance." Quarterly Journal of Finance 02, no. 01 (March 2012): 1250003. http://dx.doi.org/10.1142/s2010139212500036.
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This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows, decrease probabilities of hedge funds liquidating. However, if investors chase a category of hedge funds that has performed well (favorably positioned), then the probability of hedge funds liquidating in this category increases. We interpret this finding as a result of competition among hedge funds in a category. As competition increases, marginal funds are more likely to be liquidated than funds that deliver superior risk-adjusted returns. We also find that there is a concave relationship between performance and lagged assets under management. The implication of this study is that an optimal asset size can be obtained by balancing out the effects of past returns, fund flows, competition, market impact, and favorable category positioning that are modeled in the paper. Hedge funds in capacity constrained and illiquid categories are subject to high market impact, have limited investment opportunities, and are likely to exhibit an optimal size behavior.
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Rambo, James, and Gary Van Vuuren. "An Omega Ratio Analysis Of Global Hedge Fund Returns." Journal of Applied Business Research (JABR) 33, no. 3 (April 28, 2017): 565–86. http://dx.doi.org/10.19030/jabr.v33i3.9947.
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Hedge funds are notorious for being opaque investment vehicles, operating beyond regulation and out of reach of the average investor. In the past decade, however, they have become increasingly accessible to industry and investors. Hedge fund investment vehicles have become more complex with disparate strategies employed to obtain hedged returns. With this added complexity and impenetrability of managerial tactics, investors need a robust means of distinguishing 'good' funds from 'bad'. The most commonly used ratio to do this is the Sharpe ratio, but hedge funds exhibit non-normal returns because of their use of derivatives, short selling and leverage. The Omega ratio accounts for all moments of the return distribution and in this article, it is used to rank fund returns and compare results obtained with those obtained from the Sharpe ratio over an expansionary period (2001 to 2007) and a period of economic difficulty (2008 to 2013). The Omega ratio is found to provide far superior rankings.
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Bello, Andres, Jan Smolarski, Gökçe Soydemir, and Linda Acevedo. "Investor behavior: hedge fund returns and strategies." Review of Behavioral Finance 9, no. 1 (April 10, 2017): 14–42. http://dx.doi.org/10.1108/rbf-09-2015-0036.
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Purpose The purpose of this paper is to investigate to what extent hedge funds are subject to irrationality in their investment decisions. The authors advance the hypothesis that irrational behavior affects hedge fund returns despite their sophistication and active management style. Design/methodology/approach The irrational component may follow a pattern consistent with the observed hedge fund returns yet far distant from market fundamentals. The authors include factors beyond the original version of capital asset pricing model such as Fama and French and Carhart models, as well as less stringent models, such as APT and Fung and Hsieh, to test whether these models are able to capture the irrational nature of the residuals. Findings After finding that institutional irrational sentiments play a role in hedge fund returns, we note that the returns are not completely shielded against irrational trading; however, hedge fund returns appear to be affected only by the irrational component derived from institutional trading rather than that emanated from individuals. Research limitations/implications Different sources of irrationality may have asymmetric effects on hedge fund returns. Using a different set of sophisticated investors along with different market sentiment proxies may yield different results. Practical implications The authors argue that investors can use irrational beta to gauge the extent of institutional irrational sentiments prevailing in markets for the purpose of re-adjusting their portfolios and therefore use the betas as an early warning sign. It can also guide investors in avoiding funds and strategies that display greater irrational behavior. Originality/value The study advance the idea that the unexpected, hereafter irrational, component may follow a pattern consistent with the observed hedge fund returns, yet different from market fundamentals.
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Duarte Cardoso, Daniel, Danilo Soares Monte-mor, Neyla Tardin, and Silvania Neris Nossa. "Hedge funds and the market return." Perspectivas Contemporâneas 18 (May 9, 2023): 1–15. http://dx.doi.org/10.54372/pc.2023.v18.3543.
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This paper investigates if the equity stake, along with hedge funds, generates value for target companies in highly concentrated markets, such as the Brazilian one. In a sample with 324 Brazilian companies listed in São Paulo Stock Market (B3) that are actively participating in the Anbima Hedge Fund Index (IHFA), between 2007 and 2016, we found that the equity stake of hedge funds generates value in Brazilian invested companies, despite the market being more concentrated. We capture the hedge fund effect on invested companies in terms of: (i) how much the firms’ market capitalization is maintained by hedge funds and its percentage change between t and t-1; (ii) how many funds invest in a determined company each period and its percentage change between t and t-1. We defined target firm value creation using two proxies: abnormal return and effective stock return. To derive our results, we performed linear regressions with funds’ fixed effects and a set of fund characteristics acting as controls. We found a positive and significant relationship between the equity stake of hedge funds and the value generation in invested companies, despite the Brazilian market being more concentrated. Our results suggest that the hedge fund activism is increasing in Brazil, with fund managers influencing firms’ decisions and corporate governance mechanisms.
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Sialm, Clemens, Zheng Sun, and Lu Zheng. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds." Review of Financial Studies 33, no. 10 (December 23, 2019): 4771–810. http://dx.doi.org/10.1093/rfs/hhz138.
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Abstract Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.
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Shah, Tejal, Kirti Pandey, and Rupalben Nayak. "Hedge Fund Management in India." International Journal for Research in Applied Science and Engineering Technology 11, no. 3 (March 31, 2023): 222–30. http://dx.doi.org/10.22214/ijraset.2023.49396.
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Abstract: The study evaluates the performance of Indian Hedge Funds in comparison to the hedge fund of Asia, Emerging market, Australia, China, Japan and global hedge funds. If also examines the interrelationship between the return of Indian Hedge Funds in comparison to the return from Indian Equity market. The data were analysed by using annualized standard deviation, Sharpe ratio, correlation, ANOVA, and regression analysis. The study revealed that performance of Indian Hedge Funds is significantly behind the performance of the above listed seven hedge funds regions. It is also observed that the exists a positive correlation between Indian Hedge Funds and Indian Equity Market.
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Cassar, Gavin J., Joseph J. Gerakos, Jeremiah R. Green, John R. M. Hand, and Matthew Neal. "Hedge Fund Voluntary Disclosure." Accounting Review 93, no. 2 (June 1, 2017): 117–35. http://dx.doi.org/10.2308/accr-51841.
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ABSTRACT Using a dataset of 3,234 letters sent by 434 hedge funds to their investors during 1995–2011, we study what motivates hedge fund managers to make voluntary disclosures. Contrary to the hedge fund industry's reputation for opacity, we observe that managers provide their investors with an array of quantitative and qualitative information about fund returns, risk exposures, holdings, benchmarks, performance attribution, and future prospects. We find that the tensions between the agency costs faced by investors and the proprietary costs faced by managers affect fund disclosures. Consistent with managers reducing proprietary costs, better-performing funds disclose less quantitative data about performance and holdings, and consistent with the presence of agency costs, riskier funds disclose less quantitative information about performance and assets under management.
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Domina Repiquet, Mariia. "A Fresh Perspective on Hedge Funds: Exploring New Opportunities Post-Brexit." Business Law Review 39, Issue 3 (June 1, 2018): 71–78. http://dx.doi.org/10.54648/bula2018014.
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Hedge funds – rather a financial term than a separate legal category – denote distinct investment funds that use sophisticated investment strategies and are ‘lightly’ regulated as compared to traditional retail-oriented funds. Largely unregulated prior to the 2007/2008 financial crisis, they are now within the tight regulatory perimeter of the Alternative Investment Fund Managers Directive (2011). This article discusses the future of the UK hedge fund industry post- Brexit and explores the opportunities offered by Luxembourg hedge fund legislation. After the exit from the EU, the UK will be considered a ‘third country’ for the purposes of the Directive. Consequently, the UK hedge fund managers will lose the EU passport to manage and market their funds to the EU investors. This article argues that Luxembourg may serve as a jurisdiction of choice for UK hedge fund managers to establish their subsidiaries and act through them to be able to continue offering their units to EU investors. The overview of the recent reforms in both jurisdictions (UK Private Fund Limited Partnership 2017, Luxembourg Reserved Alternative Investment Fund 2016 and Special Limited Partnership 2013) is discussed in terms of their competitiveness post-Brexit.
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Sun, Zheng, Ashley W. Wang, and Lu Zheng. "Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions." Journal of Financial and Quantitative Analysis 53, no. 5 (August 20, 2018): 2199–225. http://dx.doi.org/10.1017/s0022109018000200.
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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.
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SHIN, SANGHEON, JAN SMOLARSKI, and GÖKÇE SOYDEMIR. "HEDGE FUNDS: RISK AND PERFORMANCE." Journal of Financial Management, Markets and Institutions 06, no. 01 (June 2018): 1850003. http://dx.doi.org/10.1142/s2591768418500034.
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This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.
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Seretakis, Alexandros. "EU Hedge Fund Regulation: Hedge Funds and Single Supervision." European Company Law 15, Issue 6 (December 1, 2018): 213–20. http://dx.doi.org/10.54648/eucl2018031.
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Huang, Jingyang, Liu Zhang, and Qisheng Guo. "Challenging Hedge Funds by Mimicking Their Strategies." Advances in Economics, Management and Political Sciences 5, no. 1 (April 27, 2023): 270–77. http://dx.doi.org/10.54254/2754-1169/5/20220090.
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Since the launching of the first hedge fund, its ability to have a greater return with less volatility has attracted more and more people to get involved in this investment tool. Numbers of people either invest in hedge funds, or simply simulate the hedge fund strategy in order to obtain a higher return. This paper studies whether people can beat hedge funds by simply mimicking hedge funds strategies. The results are shown by comparing data from Goldman Sachs Hedge Industry VIP ETF, which stands for GVIP, and the long-short hedge fund index from November 2016 to July 2022. According to yahoo finance, GVIP seeks to invest 80% of its assets in its underlying index, depositary receipts representing securities included in its underlying index, and in underlying stocks in turns of depositary receipts included in its underlying index. First of all, the statistical return of GVIP and the long-short hedge fund index are analyzed in terms of their mean, standard deviation, and sharpe ratio. The number of months that GVIP outperforms hedge funds, and the maximum return gap are also concluded by using cross-sectional comparison. Secondly, some regressions are applied to obtain the preliminary conclusions of this paper. Thirdly, the FamaFrench five-factor model is applied to improve the accuracy of the model, so as to further analyze and verify the previous conclusions. Based on the statistical analysis, we can conclude that investors cannot beat hedge funds by mimicking their strategies.
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Zhang, Yidi. "Research on the Application of Hedge Fund." BCP Business & Management 31 (November 5, 2022): 134–38. http://dx.doi.org/10.54691/bcpbm.v31i.2546.
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Hedge funds or hedging funds are financial institutions that use hedging trading tactics. It refers to financial money intended to generate profits after merging financial derivatives like financial futures and financial options with financial institutions. It falls under the category of an investment vehicle and is known as a "risk-hedged fund." In this article, the author is concerned about the background, related research, objective, method and data, results, discussion and conclusion. Different investment strategies and theories, such as stock selection and valuation and momentum strategies for stocks and commodities, are discussed in the article. The author uses Stocktrak platform to do some virtual investments and experiments and especially emphasizes the three best trades and the worst trade in the whole investments. Based on those experiences, the author concludes and discusses the application of the hedge fund and mentions the significant role that the overall market and economy play in investments.
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Shawky, Hany A., and Ying Wang. "Can Liquidity Risk Explain Diseconomies of Scale in Hedge Funds?" Quarterly Journal of Finance 07, no. 02 (January 20, 2017): 1750002. http://dx.doi.org/10.1142/s2010139217500021.
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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.
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Donaldson, Thomas. "Hedge Fund Ethics." Business Ethics Quarterly 18, no. 3 (July 2008): 405–16. http://dx.doi.org/10.5840/beq200818329.
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Hedge funds are targets of mounting ethical criticism. The most salient focuses on their opacity. Hedge funds are structured to block transparency for strategic reasons: that is, they systematically deny information to their own investors and to governments in order to protect their competitive advantage, even though the information they hide holds tremendous significance for the interests of both groups. In this article I will detail the ethical allegations made against hedge funds, showing why their opacity creates intractable conflicts that cannot be resolved through government regulation. Sometimes opacity be regulated away; but with hedge funds I show why it cannot because of “regulatory recalcitrance.” In the end a form of voluntary moral coordination, a form of “microsocial contract” instituted as an industry standard, is required relief. In a word, the solution to hedge fund opacity is ethical.
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Athanassiou, Phoebus. "Towards pan-European Hedge Fund Regulation? State of the Debate." Legal Issues of Economic Integration 35, Issue 1 (February 1, 2008): 7–41. http://dx.doi.org/10.54648/leie2008002.
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Despite having been part and parcel of the European asset management universe for several years, hedge funds have been bypassed by the regulatory initiatives which have recently transformed Europe’s financial services landscape. That concerted action has yet to be undertaken in this field and that the European market for the cross-border distribution of hedge fund products continues to be fragmented has less to do with the absence of a European debate on hedge fund regulation than it has to do with the lack of a clear vision on what the future should hold for them. The purpose of this article is to critically examine hitherto European initiatives and proposals for the future regulation of hedge funds, assessing the prospect of their transformation into concrete regulatory action in the foreseeable future. Our account of European initiatives will be preceded by an inquiry into the treatment of hedge funds under Community law and by a brief comparative examination of contemporary hedge fund regulation in the EU.
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Hu, Yifan. "Exploring Hedge Fund Strategies in Portfolio Management Using Financial Derivatives and Their Impact on Market Volatility." Advances in Economics, Management and Political Sciences 62, no. 1 (December 28, 2023): 69–76. http://dx.doi.org/10.54254/2754-1169/62/20231316.
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This paper aims to explore the strategies employed by hedge funds when using financial derivatives for portfolio management and their impact on market volatility. It begins with a discussion of the importance of hedge funds in the investment world, followed by an examination of the strategies they employ, including the use of financial derivatives such as futures, options and swaps. In addition, the influence of these strategies on market volatility is also analyzed. This study provides valuable insights on hedge fund investment strategies and their impact on the market and has important reference value for investors and hedge fund managers. Hedge fund has attracted more and more attention in the investment field. Its unique strategy and high return ability make it highly valued in the investment community. This article takes an in-depth look at the strategies employed by hedge funds when using financial derivatives for portfolio management and explores the impact of these strategies on market volatility.
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Williams, Owen. "Foreign currency exposure within country exchange traded funds." Studies in Economics and Finance 33, no. 2 (June 6, 2016): 222–43. http://dx.doi.org/10.1108/sef-10-2014-0196.
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Purpose The purpose of this paper is to consider the implicit effect of the underlying foreign currency exposure on the performance characteristics of country exchange traded funds. Design/methodology/approach To arrive at an overall estimation of the exchange-traded fund (ETF)’s tracking error, the mean of the three measures of tracking error was calculated for both the hedged (r_LC) and unhedged (r_NAV) return series. Since tracking error does not capture all the risk inherent in a country index fund, the study extends the analysis using the Sortino and Modified Sharpe ratios. Findings The decision to hedge currency risk should not be taken on the sole basis of historical volatilities. The investor must also factor in transactions costs, the possible roll of futures contracts and prevailing interest rate differentials. If the rate on the foreign currency is greater than the dollar (euro) rate, the investor will pay for the hedge. If the rate on the foreign currency is less than the dollar (euro) rate, the investor will gain on the trade. Given that hedging entails additional costs, in cases where the neutralization of currency volatility only reduces risk modestly, it would be advisable to leave the exchange rate risk unhedged. We propose two metrics for ETF investors deciding whether to hedge a country ETF’s underlying currency risk. Originality/value The results highlight a key finding: while the majority of country funds accurately track the performance of the underlying foreign index when measured in the local currency, returns in the fund currency can be much more volatile. In breaking down the sources of country fund volatility, the paper demonstrates the impact of the underlying currency movements on overall fund risk. In cases where the currency impact has a significant impact on fund tracking errors, an index-oriented investor benefits from neutralizing the exchange rate effect. Additionally, as the Sortino and Modified Sharpe measures suggest that the underlying currency exposure offers in most cases a better risk-adjusted return for country exchange-traded funds (ETFs) in the listing currency, we also calculate the risk minimizing foreign currency exposure for each fund and propose a decision rule based on the net currency variance to decide whether to hedge the ETF’s currency risk. The optimal hedge ratio indicates that US-based investors should only partially hedge the underlying currency risk while European-based investors are better off fully hedging currency risk.
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MahaDevan, Sivan, and David Schwartz. "Hedge Fund Collateralized Fund Obligations." Journal of Alternative Investments 5, no. 2 (September 30, 2002): 45–62. http://dx.doi.org/10.3905/jai.2002.319054.
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Mccahery, Joseph A., and Erik P. M. Vermeulen. "How should we regulate private equity and hedge funds?" Maandblad Voor Accountancy en Bedrijfseconomie 81, no. 7/8 (July 1, 2007): 344–50. http://dx.doi.org/10.5117/mab.81.20841.
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This paper discusses the activities of hedge funds and private equity funds. We consider the rationale used by proponents for introducing new regulation for hedge funds and private equity. There is a division of opinion regarding whether this alternative asset sector should be subject to new regulation. The competing views are assessed critically. We conclude that more economic evidence is required before new legislation can be introduced. We also focus on the effects of the partial convergence of hedge funds and private equity funds. Clearly the differences in the contractual structure of hedge funds and private equity vehicles indicate that parties are capable of structuring their particular ownership and investment of their instruments without having to satisfy burdensome regulatory requisites. Moreover, even though both private equity and hedge funds are typically organized as limited partnerships, there remain a number of contractual provisions that differentiate the two main alternative investment fund strategies. In this regard, we examine the terms and conditions of fund formation and operation, management fees and expenses, profi t sharing and distributions, and corporate governance of the respective fund structures. On balance, our analysis shows that the contractual basis for each fund type is usually adequate to address the agency problems that abound in this sector.
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Brunel, Jean L. P. "A New Perspective on Hedge Funds and Hedge Fund Allocations." AIMR Conference Proceedings 2003, no. 6 (July 31, 2003): 9–22. http://dx.doi.org/10.2469/cp.v2003.n6.3332.
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Gregoriou, Greg N., and Daniel Capocci. "The Complete Guide to Hedge Funds & Hedge Fund Strategies." Journal of Wealth Management 16, no. 3 (October 31, 2013): 141–42. http://dx.doi.org/10.3905/jwm.2013.16.3.141.
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LHABITANT, FRANÇOIS‐SERGE. "Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios." Journal of Risk Finance 2, no. 4 (March 2001): 16–32. http://dx.doi.org/10.1108/eb043472.
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Smith, Zachary Alexander, and Muhammad Zubair Mumtaz. "Hedge fund managers and deceit: is the accusation of performance manipulation valid?" Chinese Management Studies 11, no. 3 (August 7, 2017): 387–414. http://dx.doi.org/10.1108/cms-02-2017-0035.
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Purpose The purpose of this paper is to examine whether there is significant evidence that hedge fund managers engage in deceptive manipulation of their reported performance results. Design/methodology/approach A model of hedge fund performance has been developed using standard regression analysis incorporating dependent lagged variables and an autoregressive process. In addition, the extreme bounds analysis technique has been used to examine the robustness and sensitivity of the explanatory variables. Finally, the conditional influence of the global stock market’s returns on hedge fund performance and the conditional return behavior of the Hedge Fund Index’s performance have been explored. Findings This paper begins by identifying a model of hedge fund performance using passive index funds that is well specified and robust. Next, the lag structure associated with hedge fund returns has been examined and it has been determined that it seems to take the hedge fund managers two months to integrate the global stock market’s returns into their reported performance; however, the lagged variables were reduced from the final model. The paper continues to explore the smoothing behavior by conditioning the dependent lagged variables on positive and negative returns and find that managers are conservative in their estimates of positive performance events, but, when experiencing a negative result, they seem to attempt to rapidly integrate that effect into the return series. The strength of their integration increases as the magnitude of the negative performance increases. Finally, the performance of returns for both the Hedge Fund Index and the passive indices were examined and no significant differences between the conditional returns were found. Research limitations/implications The results of this analysis illustrate that hedge fund performance is not all that different from the performance of passive indices included in this paper, although it does offer investors access to a unique return distribution. From a management perspective, we are reminded that we need to be cautious about hastily arriving at conclusions about something that looks different or feels different from everything else, because, at times, our preconceived notions will cause us to avoid participating in something that may add value to our organizations. From an investment perspective, sometimes having something that looks and behaves differently from everything else, improves our investment experience. Originality/value This paper provides a well-specified and robust model of hedge fund performance and uses extreme bounds analysis to test the robustness of this model. This paper also investigates the smoothing behavior of hedge fund performance by segmenting the returns into two cohorts, and it finds that the smoothing behavior is only significant after the hedge funds produce positive performance results, the strength of the relationship between the global stock market and hedge fund performance is more economically significant if the market has generated a negative performance result in the previous period, and that as the previous period’s performance becomes increasingly negative, the strength of the relationship between the Hedge Fund Index and the global stock market increases.
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Lutton, David John. "The European Union, Financial Crises and the Regulation of Hedge Funds: A Policy Cul-de-Sac or Policy Window?" Journal of Contemporary European Research 4, no. 3 (November 2, 2008): 167–78. http://dx.doi.org/10.30950/jcer.v4i3.130.
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A series of financial crises involving hedge funds has created a general perception that action needs to be taken. A number of key member states and political actors favour tighter regulation. Traditional bureaucratic theory suggests that the European Commission would seek to maximise this ‘policy window’, and yet there remains no single unified European Union (EU) regulatory framework specifically targeting hedge funds. The nature of the regulatory regime, which has generally demanded a ‘light touch’ approach, means there are strict limits the EU’s ability to act. From an EU perspective, hedge fund regulation appears to be a policy cul-de-sac. However, the relationship between hedge funds and financial crisis is complex and less straightforward than is often portrayed. Hedge fund regulation cannot, however, be considered in isolation but should be viewed in the context of a wider programme to integrate European financial services markets. Viewed from this perspective, EU regulation is in fact changing the landscape of the hedge fund industry through a process of negative integration.
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Joenväärä, Juha, Robert Kosowski, and Pekka Tolonen. "The Effect of Investment Constraints on Hedge Fund Investor Returns." Journal of Financial and Quantitative Analysis 54, no. 4 (October 8, 2018): 1539–71. http://dx.doi.org/10.1017/s0022109018001333.
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This paper examines the effect of real-world, investor-level investment constraints, including several that have not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly reduced when rebalancing rules reflect fund size restrictions and liquidity constraints but remains statistically significant at higher rebalancing frequencies. Hypothetical investor portfolios that incorporate additional minimum diversification constraints, minimum investment requirements, and focus on open funds suggest that the performance and its persistence documented in earlier studies of hedge funds is not easily exploitable, especially by large investors.
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Dutta, Sandip, and James Thorson. "Are hedge fund returns affected by media coverage of macroeconomic news?" Studies in Economics and Finance 36, no. 3 (July 26, 2019): 427–39. http://dx.doi.org/10.1108/sef-10-2017-0289.
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Purpose Extant literature suggests that the difficulty associated with the interpretation of macroeconomic news announcements by the market in general in different economic environments, might be the reason why most studies do not find any significant relationship between real-sector macroeconomic variables and financial asset returns. This paper aims to use a different approach to measure macroeconomic news. The objective is to examine if a different measure of a macroeconomic news variable, constructed from media coverage of the same, significantly affects hedge fund returns. Design/methodology/approach The authors use a news index for unemployment, which is a real-sector variable, constructed from newspaper coverage of unemployment announcements and examine its impact on hedge fund returns. Findings Contrary to the other studies that examine the impact of macroeconomic news on hedge fund returns, the authors find that media coverage of unemployment news announcements significantly affects hedge fund returns. Practical implications Overall, this paper demonstrates that the manner in which the market interprets macroeconomic news announcements in different economic environments is probably a more relevant factor for hedge funds and is more likely to impact hedge fund returns. In conjunction with variables – constructed from media coverage of unemployment news announcements – that factor in the manner of interpretation, it is found that surprises also matter for hedge fund returns. This is an important consideration for hedge fund managers as well. Originality/value To the best of the authors’ knowledge, this is the first study that examines the impact of media coverage of macroeconomic news announcements on hedge fund returns and finds significantly different results with real-sector macro variables.
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Jorion, Philippe, and Christopher Schwarz. "The Strategic Listing Decisions of Hedge Funds." Journal of Financial and Quantitative Analysis 49, no. 3 (June 2014): 773–96. http://dx.doi.org/10.1017/s0022109014000350.
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AbstractThe voluntary nature of hedge fund database reporting creates strategic listing opportunities for hedge funds. However, little is known about how managers list funds across multiple databases or whether investors are fooled by funds’ listing decisions. In this paper, we find that hedge funds strategically list their small, best-performing funds in multiple outlets immediately while preserving the option to list their other funds in additional databases later. We generally find that investors react rationally to these fund listings based on the predictability of performance. Finally, our results lead to specific guidelines on handling backfilled returns to minimize biases.
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Ben Khelifa, Soumaya. "The European hedge funds industry: An empirical analysis of performance, liquidity, and growth." Corporate Governance and Sustainability Review 5, no. 2 (2021): 89–101. http://dx.doi.org/10.22495/cgsrv5i2p8.
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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
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Kehinde Isaac, Segun, Chinonye Moses, Taiye Borishade, Simon-Ilogho Busola, Nkechi Adubor, Franklin Asemota, and Nifemi Obembe. "Evolution and innovation of hedge fund strategies: A systematic Review of literature and framework for future research." Acta Innovations, no. 50 (November 23, 2023): 29–40. http://dx.doi.org/10.32933/actainnovations.50.3.
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Hedge funds are a dynamic and heterogeneous segment of the financial industry that employs various strategies to generate returns and manage risk. Despite their growing importance and impact on the global economy, hedge funds remain largely unregulated and opaque, posing challenges for researchers and regulators alike. This paper provides a systematic review of the academic literature on hedge fund strategies, covering their institutional, historical and performance characteristics; their purpose and effectiveness in achieving balanced portfolios; and the relationship of returns to manager skill, style, size and other factors. The paper also proposes a framework for future research on hedge fund strategies.
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Bookstaber, Richard. "Hedge Fund Existential." Financial Analysts Journal 59, no. 5 (September 2003): 19–23. http://dx.doi.org/10.2469/faj.v59.n5.2559.
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Kobal, Michael. "Hedge Fund Leverage." CFA Digest 42, no. 1 (February 2012): 5–7. http://dx.doi.org/10.2469/dig.v42.n1.22.
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Welty, Chris. "Hedge Fund Management." Imagine 5, no. 4 (1998): 6–7. http://dx.doi.org/10.1353/imag.2003.0137.
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Anson, Mark J. P. "Hedge Fund Transparency." Journal of Wealth Management 5, no. 2 (July 31, 2002): 79–83. http://dx.doi.org/10.3905/jwm.2002.320448.
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De Souza, Clifford, and Suleyman Gokcan. "Hedge Fund Investing." Journal of Wealth Management 6, no. 4 (January 31, 2004): 52–73. http://dx.doi.org/10.3905/jwm.2004.391058.
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Kat, Harry M., and Helder P. Palaro. "Hedge Fund Returns." Journal of Wealth Management 8, no. 2 (July 31, 2005): 62–68. http://dx.doi.org/10.3905/jwm.2005.571009.
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