Hedge funds: Performance, risk, and capital formation
Publication
, Journal Article
Fung, W; Hsieh, DA; Naik, NY; Ramadorai, T
Published in: Journal of Finance
August 1, 2008
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.
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Published In
Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
August 1, 2008
Volume
63
Issue
4
Start / End Page
1777 / 1803
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Fung, W., Hsieh, D. A., Naik, N. Y., & Ramadorai, T. (2008). Hedge funds: Performance, risk, and capital formation. Journal of Finance, 63(4), 1777–1803. https://doi.org/10.1111/j.1540-6261.2008.01374.x
Fung, W., D. A. Hsieh, N. Y. Naik, and T. Ramadorai. “Hedge funds: Performance, risk, and capital formation.” Journal of Finance 63, no. 4 (August 1, 2008): 1777–1803. https://doi.org/10.1111/j.1540-6261.2008.01374.x.
Fung W, Hsieh DA, Naik NY, Ramadorai T. Hedge funds: Performance, risk, and capital formation. Journal of Finance. 2008 Aug 1;63(4):1777–803.
Fung, W., et al. “Hedge funds: Performance, risk, and capital formation.” Journal of Finance, vol. 63, no. 4, Aug. 2008, pp. 1777–803. Scopus, doi:10.1111/j.1540-6261.2008.01374.x.
Fung W, Hsieh DA, Naik NY, Ramadorai T. Hedge funds: Performance, risk, and capital formation. Journal of Finance. 2008 Aug 1;63(4):1777–1803.
Published In
Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
August 1, 2008
Volume
63
Issue
4
Start / End Page
1777 / 1803
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment