Hedge funds: Performance, risk, and capital formation

Published

Journal Article

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. © 2008 The American Finance Association.

Full Text

Duke Authors

Cited Authors

  • Fung, W; Hsieh, DA; Naik, NY; Ramadorai, T

Published Date

  • August 1, 2008

Published In

Volume / Issue

  • 63 / 4

Start / End Page

  • 1777 - 1803

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.2008.01374.x

Citation Source

  • Scopus