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Hedge Funds: Performance, Risk, and Capital Formation

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Author Info
WILLIAM FUNG
DAVID A. HSIEH
NARAYAN Y. NAIK
TARUN RAMADORAI

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Abstract

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. Copyright (c) 2008 The American Finance Association.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6261.2008.01374.x
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Publisher Info
Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 63 (2008)
Issue (Month): 4 (08)
Pages: 1777-1803
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Handle: RePEc:bla:jfinan:v:63:y:2008:i:4:p:1777-1803

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  1. John Kambhu & Til Schuermann & Kevin J. Stiroh, 2007. "Hedge funds, financial intermediation, and systemic risk," Staff Reports 291, Federal Reserve Bank of New York. [Downloadable!]
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  2. Ramadorai, Tarun, 2008. "The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium," CEPR Discussion Papers 6877, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York. [Downloadable!]
  4. Vayanos, Dimitri & Woolley, Paul, 2008. "An Institutional Theory of Momentum and Reversal," CEPR Discussion Papers 7068, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  5. Stulz, Rene M., 2007. "Hedge Funds: Past, Present, and Future," Working Paper Series 2007-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  6. Jens Carsten Jackwerth & James E. Hodder & Olga Kolokolova, 2008. "Recovering Delisting Returns of Hedge Funds," CoFE Discussion Paper 08-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  7. Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," NBER Working Papers 14523, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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