Assessing the Performance of Funds of Hedge Funds

Evaluation of Hedge Funds Performance

On the Performance of Hedge Funds

This paper investigates hedge fund performance and risk. The empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles such as mutual funds. The funds with watermarks significantly outperform the funds without watermarks. The average hedge fund returns are related positively to incentive fees, the size of the fund, and the lockup period. Hedge funds...

Liquidity Spillovers in Hedge Funds: Evidence from the Holdings of Funds of Hedge Funds

We examine whether funds of hedge funds (FoFs) engage in costly fire sales of their hedge fund investments during the 2004–2011 period. We find that FoFs experiencing large outflows tend to liquidate holdings in funds with relatively few redemption restrictions (“liquid funds”), even when these funds perform well. A tracking portfolio that buys liquid funds involved in fire sales over the prior...

Hedge Funds, Funds-of-Funds, and Commodity Trading Advisors

Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds

 Vikas Agarwal is from Georgia State University, J. Mack Robinson College of Business, 35 Broad Street, Suite 1221, Atlanta GA 30303, USA. Email: [email protected]: +1-404-413-7326. Fax: +1-404-4137312. Vikas Agarwal is also a Research Fellow at the Centre for Financial Research (CFR), University of Cologne. ^ Yan Lu is from University of Florida, Warrington College of Business, Box 117168,...