The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Hedge Funds: Performance, Risk, and Capital Formation
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.
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Cites
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Mutual Fund Flows and Performance in Rational Markets
Berk, J. B., & Green, R. C. (2004) · Journal of Political Economy · doi:10.1086/424739 · Cited by 2,083
Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
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Cited by
Scale and skill in active management
Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.11.008 · Cited by 547
On the Size of the Active Management Industry
Pástor, L., & Stambaugh, R. F. (2012) · Journal of Political Economy · doi:10.1086/667987 · Cited by 236
The Growth and Performance of Artificial Intelligence in Asset Management
Chen, S., Sialm, C., & Xu, D. (2026) · National Bureau of Economic Research · doi:10.3386/w35273
Metadata
- Authors
- FUNG, W., HSIEH, D. A., NAIK, N. Y., & RAMADORAI, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2008-07-19
- Volume
- 63
- Issue
- 4
- Pages
- 1777-1803
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2105177794
- Cited by
- 658
- References
- 30
- FWCI
- 95.07
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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