Capacity Constraints and Hedge Fund Strategy Returns

By Narayan Naik, Tarun Ramadorai, Maria Stromqvist. 2007

129 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/320f9ccda92ad2b672900eff4cb8476ee673fc90

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In Accounting

1. R. Faust
2. Martin Eling

In Economics and Econometrics

1. R. Faust
2. Martin Eling
3. Andreas Kleefeld
4. M. Delignette-Muller
5. Vytaras Brazauskas
6. Christophe Dutang

In Finance

1. R. Faust
2. Martin Eling
3. Andreas Kleefeld
4. M. Delignette-Muller
5. Vytaras Brazauskas
6. Christophe Dutang

Citations in the corpus

• The performance of hedge funds and mutual funds in emerging markets (2010, background): “Naik et al. (2007) report that hedge funds generated significant alphas in the decade between 1995 and 2004, but that the level of alpha declined substantially over this period.”
• Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn (2011, unknown): “Consistent with this evidence, Naik, Ramadorai, and Stromqvist (2007) and Zhong (2008) find alpha is still positive but has been steadily declining over time.”
• "Momentum Strategies in Futures Markets and Trend-following Funds" (2013, unknown): “The individual fund flow of capital, FuF j(t), net of fund performance is computed using standard methodologies as in Naik et al. (2007) or 11Notice that the order of averaging does not matter.”