The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
On the Performance of Hedge Funds
Abstract
Empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles, such as mutual funds. Unlike mutual funds, hedge funds follow dynamic trading strategies and have low systematic risk. Hedge funds' special fee structures apparently align managers' incentives with fund performance. Funds with “high watermarks” (under which managers are required to make up previous losses before receiving any incentive fees) significantly outperform those without. Hedge funds provide higher Sharpe ratios than mutual funds, and their performance in the period of January 1992 through December 1996 reflects better manager skills, although hedge fund returns are more volatile. Average hedge fund returns are related positively to incentive fees, fund assets, and the lockup period.
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Citations
Cites
Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
Grinblatt, M., & Titman, S. (1989) · The Journal of Business · doi:10.1086/296468 · Cited by 1,349
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
Just how much do individual investors lose by trading?
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn046 · Cited by 953
The Statistics of Sharpe Ratios
Lo, A. W. (2002) · Financial Analysts Journal · doi:10.2469/faj.v58.n4.2453 · Cited by 843
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Role of Managerial Incentives and Discretion in Hedge Fund Performance
AGARWAL, V., DANIEL, N. D., & NAIK, N. Y. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01499.x · Cited by 688
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Hasanhodzic, J., & Lo, A. W. (2006) · SSRN Electronic Journal · doi:10.2139/ssrn.924565 · Cited by 286
Metadata
- Authors
- Liang, B.
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 1999-07
- Volume
- 55
- Issue
- 4
- Pages
- 72-85
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W1900931321
- Cited by
- 479
- References
- 2
- FWCI
- 14.36
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
