The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme
In addition to active portfolio management, hedge funds are characterized by the allocation of portfolio performance between the external investors and the management firm accounts. This allocation can take different forms, such as the Loss Carry Forward scheme, and some of them can be coupled with performance smoothing techniques. This paper shows that this additional smoothing component might explain some empirical facts observed on the distribution and the dynamics of hedge fund returns
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- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004.
"An econometric model of serial correlation and illiquidity in hedge fund returns,"
Journal of Financial Economics,
Elsevier, vol. 74(3), pages 529-609, December.
- Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
- Brown, Stephen J & Goetzmann, William N & Ibbotson, Roger G, 1999. "Offshore Hedge Funds: Survival and Performance, 1989-95," The Journal of Business, University of Chicago Press, vol. 72(1), pages 91-117, January.
- Bollen, Nicolas P. B. & Pool, Veronika K., 2008. "Conditional Return Smoothing in the Hedge Fund Industry," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(02), pages 267-298, June.
- Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, 06.
- Agarwal, Vikas & Naik, Narayan Y., 2000. "Multi-Period Performance Persistence Analysis of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 327-342, September. Full references (including those not matched with items on IDEAS)
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