Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
AbstractWe investigate whether hedge fund and commodity trading advisor [CTA] return variance is conditional upon performance in the first half of the year. Our results are consistent with the Brown, Harlow and Starks (1994) findings for mutual fund managers. We find that good performers in the first half of the year reduce the volatility of their portfolios, but not vice-versa. The result that manager "variance strategies" depend upon relative ranking not distance from the high water mark threshold is unexpected, because CTA manager compensation is based on this absolute benchmark, rather than relative to other funds or indices. We conjecture that
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm83.
Date of creation: 01 Feb 1998
Date of revision: 01 Apr 2008
Other versions of this item:
- Stephen Brown, 1999. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-077, New York University, Leonard N. Stern School of Business-.
- William N. Goetzmann & Stephen J. Brown & James M. Park, 2004. "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," Yale School of Management Working Papers ysm10, Yale School of Management.
- G2 - Financial Economics - - Financial Institutions and Services
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