Funds of hedge funds: performance, risk and capital formation 2005 to 2010
Tóm tắt
Using a comprehensive data set of funds-of-hedge funds, we extend the results of Fung et al. (J. Finance 63:1777–1803, 2008) (FHNR) with an augmented version of the Fung and Hsieh (Financ. Anal. J. 60:65–80, 2004a; J. Empir. Finance 18:547–569, 2004b) model to document performance characteristics from January 2005 to December 2010. We find that our sample period is divided into three distinct subperiods: January 2005 to June 2007 (pre-subprime crisis); July 2007 to March 2009; and April 2009 to December 2010 (post-credit crunch) during which the average fund of hedge funds delivered positive alpha only in the first subperiod. We divide the funds of hedge funds sample into those who have alpha and the rest, which we call beta-only. The empirical results show a dramatic decline in the population of alpha producing funds of hedge funds post 2008 compared to the FHNR findings. When we repeat our analysis with a synthetic hedge fund index replicator, we find qualitatively similar results.
Tài liệu tham khảo
Admati, A., Ross, S.: Measuring investment performance in a rational expectations equilibrium model. J. Bus. 58, 1–26 (1985)
Agarwal, V., Naik, N.Y.: Risks and portfolio decisions involving hedge funds. Rev. Financ. Stud. 17, 63–98 (2004)
Agarwal, V., Naik, N.Y.: Hedge funds. Found. Trends Finance 1(2), 103–170 (2005)
Agarwal, V., Daniel, N., Naik, N.Y.: Flows, performance and managerial incentives in hedge funds. Working paper HF-016, London Business School (2004)
Agarwal, V., Daniel, N., Naik, N.Y.: Effect of managerial incentives and discretion on the performance of hedge funds, J. Finance (2009)
Ang, A., Rhodes-Kropf, M., Zhao, R.: Do funds-of-funds deserve their extra fees? J. Invest. Manag. 6, 34–58 (2008)
Berk, J.B., Green, R.: Mutual fund flows and performance in rational markets. J. Polit. Econ. 112(6), 1269–1295 (2004)
Brown, S.J., Goetzmann, W., Liang, B., Schwarz, C.: Lessons from hedge fund registration. Working paper (2006)
Chow, G.: Test of equality between sets of coefficients in two linear regressions. Econometrica 28, 591–605 (1960)
Edelman, D., Fung, W., Hsieh, D.A.: Exploring uncharted territories of the hedge fund industry: empirical characteristics of mega hedge fund firms. In: Beta, Diversification and Innovation, the Q-Group, Fall 2011 Seminar, October (2011)
Fung, W., Hsieh, D.A.: Empirical characteristics of dynamic trading strategies: The case of hedge funds. Rev. Financ. Stud. 10, 275–302 (1997)
Fung, W., Hsieh, D.A.: Performance characteristics of hedge funds and CTA funds: Natural versus spurious biases. J. Financ. Quant. Anal. 35, 291–307 (2000)
Fung, W., Hsieh, D.A.: The risk in hedge fund strategies: Theory and evidence from trend followers. Rev. Financ. Stud. 14, 313–341 (2001)
Fung, W., Hsieh, D.A.: The risk in fixed-income hedge fund styles. J. Fixed Income 12, 6–27 (2002)
Fung, W., Hsieh, D.A.: Hedge fund benchmarks: A risk based approach. Financ. Anal. J. 60, 65–80 (2004a)
Fung, W., Hsieh, D.A.: The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds. J. Empir. Finance 18, 547–569 (2004b)
Fung, W., Hsieh, D.A.: Hedge funds: An industry in its adolescence. In: Federal Reserve Bank of Atlanta Economic Review, Fourth Quarter, pp. 1–34 (2006)
Fung, W., Hsieh, D.A., Naik, N.Y., Ramadorai, T.: Hedge funds: Performance, risk and capital formation. J. Finance 63, 1777–1803 (2008)
Getmansky, M., Lo, A.W., Makarov, I.: An econometric model of serial correlation and illiquidity in hedge fund returns. J. Financ. Econ. 74, 529–610 (2004)
Hasanhodzic, J., Lo, A.W.: Can hedge-fund returns be replicated?: The linear case. J. Portf. Manag. 5(2), 5–45 (2007)
Hsieh, D.: A heteroskedasticity-consistent covariance matrix estimator for time series. J. Econom. 22, 281–290 (1983)
Kosowski, R., Timmerman, A., White, H., Wermers, R.: Can mutual fund stars really pick stocks? New evidence from a bootstrap experiment. J. Finance 61, 2551–2595 (2006)
Liang, B.: Hedge funds: The living and the dead. J. Financ. Quant. Anal. 35, 309–326 (2000)
Newey, W.K., West, K.D.: A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703–708 (1987)
White, H.: A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817–838 (1980)