Hedge funds: Performance, risk, and capital formation

被引：231

作者：

Fung, William ^{[1
]}

Hsieh, David A. ^{[2
]}

Naik, Narayan Y. ^{[1
]}

Ramadorai, Tarun ^{[3
]}

机构：

[1] London Business Sch, London, England

[2] Duke Univ, Durham, NC 27706 USA

[3] Univ Oxford, Said Business Sch, Oxford Man Inst Quantitat Finance, Oxford OX1 2JD, England

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 04期

关键词：

D O I：

10.1111/j.1540-6261.2008.01374.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：1777 / 1803

页数：27

共 31 条

[21] A HETEROSCEDASTICITY-CONSISTENT COVARIANCE-MATRIX ESTIMATOR FOR TIME-SERIES REGRESSIONS [J].