Hedge Funds: Performance, Risk, and Capital Formation

By William Fung, David A. Hsieh, Narayan Naik, Tarun Ramadorai. Journal of Finance, 2008

165 citations recorded by the source corpus.

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.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/708c45d5013fa4a17a8a31115cbd1ec84c7df425

Citations in the corpus

• Macroeconomic Risk and Hedge Fund Returns (2014, unknown): “Following Fung et al. (2008), we use a version of                                                              7 A similar result, that there is serial dependence in hedge fund returns is also found by Agarwal and Naik (2000), Getmansky, Lo, and Makarov (2004), Jagannathan, Malakhov, and Novikov…”
• Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows? (2018, unknown): “This section describes the hedge fund sample and provides details for the construction of the various performance measures.”