Journal of Finance Vol. 63 No. 4 2008

Hedge Funds: Performance, Risk, and Capital Formation

William Fung¹; David A. Hsieh^2,3; Narayan Y. Naik^4,5; Tarun Ramadorai^6,7

¹ PI Asset Management, LLC · ² National Bureau of Economic Research · ³ Duke University · ⁴ Centre for Economic Policy Research · ⁵ Imperial College London · ⁶ London School of Business and Finance · ⁷ London Business School

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.

DOI

10.1111/j.1540-6261.2008.01374.x

Volume

63

Issue

4

Pages

1777-1803

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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