Empirische Analyse der Drawdowns von Dach-Hedgefonds
Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF. Therefore, we analyze time series and descriptive variables of 649 FHF drawn from the Lipper TASS Hedge Fund database for the time period January 1996 to August 2007. Our empirical results suggest that (1) the number as well as the magnitude of drawdowns decreases with increasing experience of the FHF, (2) the average recovery is higher with older FHF, (3) there is no difference in the magnitude of a maximum drawdown between small and large FHF, (4) the higher a maximum drawdown of an FHF the longer it takes to recover, and (5) most of the maximum drawdowns happen at times of turmoil in financial markets. Therefore our findings especially question the acclaimed ability of FHF to deliver absolute returns and also show that the beta risks involved with FHF are high. The advantages of FHF should thus rather be their low long-term correlations to traditional asset classes as well as their low volatility.
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- Stephen J. Brown & William N. Goetzmann & Bing Liang, 2004.
"Fees on Fees in Funds of Funds,"
Yale School of Management Working Papers
ysm18, Yale School of Management.
- Stephen J. Brown & William N. Goetzmann & Bing Liang, 2003. "Fees on Fees in Funds of Funds," NBER Working Papers 9464, National Bureau of Economic Research, Inc.
- Stephen Brown & William Goetzmann & Bing Liang, 2002. "Fees on Fees in Funds of Funds," Yale School of Management Working Papers ysm309, Yale School of Management, revised 01 Sep 2009.
- Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
- 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.
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