Skip to main content
alt

Please enter a keyword and click the arrow to search the site

Or explore one of the areas below

Capacity constraints and hedge fund strategy returns

Subject

Finance

Publishing details

BNP Paribas Hedge Fund Centre Working Paper Series

Authors / Editors

Naik N Y;Ramadorai T;Stromqvist M

Biographies

Narayan Naik

Publication Year

2006

Abstract

Hedge funds have generated significant absolute returns (alpha) in the decade between 1995 and 2004. However, the level of alpha has declined substantially over this period. We investigate whether capacity constraints at the level of hedge fund strategies have been responsible for this decline. For four out of eight hedge fund strategies, capital inflows have statistically preceded negative movements in alpha, consistent with this hypothesis. We also find evidence that hedge fund fees have increased over the same period. Our results provide support for the Berk and Green (2004) rational model of active portfolio management.

Publication Research Centre

Hedge Fund Centre

Series Number

HF-022

Series

BNP Paribas Hedge Fund Centre Working Paper Series

Available on ECCH

No


Select up to 4 programmes to compare

Select one more to compare
×
subscribe_image_desktop 5949B9BFE33243D782D1C7A17E3345D0

Sign up to receive our latest news and business thinking direct to your inbox

×

Sign up to receive our latest course information and business thinking

Leave your details above if you would like to receive emails containing the latest thought leadership, invitations to events and news about courses that could enhance your career. If you would prefer not to receive our emails, you can still access the case study by clicking the button below. You can opt-out of receiving our emails at any time by visiting: https://london.edu/my-profile-preferences or by unsubscribing through the link provided in our emails. View our Privacy Policy for more information on your rights.