The performance of emerging hedge funds and managers

• 成果类型: Article
• 署名作者: Aggarwal, Rajesh K.; Jorion, Philippe
• 署名单位: University of California System; University of California Irvine; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.12.010
• 发表日期: 2010
• 页码: 238-256
• 关键词: HEDGE FUNDS; Emerging managers; incentives; Performance evaluation

摘要

This paper provides the first systematic analysis of performance patterns for emerging funds and managers in the hedge fund industry. Emerging funds and managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than established ones. Performance measurement, however, needs to control for the usual biases afflicting hedge fund databases. After adjusting for such biases and using a novel event time approach, we find strong evidence of outperformance during the first two to three years of existence. Each additional year of age decreases performance by 42 basis points, on average. Cross-sectionally, early performance by individual funds is quite persistent, with early strong performance lasting for up to five years. (C) 2010 Elsevier B.V. All rights reserved.