Hedge funds: performance, risk and capital formation

Fung, William, Hsieh, David, Naik, Narayan and Ramadorai, Tarun (2008) Hedge funds: performance, risk and capital formation. Journal of Finance, 63 (4). pp. 1777-1803.


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.

Item Type: Article
Keywords: Hedge funds; Funds-of-funds; Performance; Alpha; Survival, flows; Capacity constraints; finance
Subject(s): Finance
Date Deposited: 01 Apr 2012 13:01
Last Modified: 29 Nov 2018 11:51
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/3081

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