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Funds of hedge funds: Performance, risk and capital formation 2005 to 2010

Journal

Financial Markets and Portfolio Management

Subject

Finance

Publishing details

Financial Markets and Portfolio Management 2012 Vol 26:1 p 87-108

Authors / Editors

Edelman D;Fung W;Hsieh D;Naik N

Biographies

Narayan Naik

Publication Year

2012

Abstract

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.

Available on ECCH

No


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