Hedge funds: Performance, risk, and capital formation

• 成果类型: Article
• 署名作者: Fung, William; Hsieh, David A.; Naik, Narayan Y.; Ramadorai, Tarun
• 署名单位: University of London; London Business School; Duke University; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01374.x
• 发表日期: 2008
• 页码: 1777-1803
• 关键词: consistent covariance-matrix; FLOWS; heteroskedasticity; strategies; estimator; bootstrap; returns; MODEL

摘要

We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently delivers alpha. The alpha-producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts. These capital inflows attenuate the ability of the alpha producers to continue to deliver alpha in the future.