Flow-induced redemption costs in funds of funds

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

A Flow oJ Funds Model

The events of the past few years have placed severe strains on our financial system. In 1966 and again in 1969 the stability of important types of financial institutions was called into question. The volume of net residential mortgage lending was sharply curtailed. Corporate liquidity was drawn down to dangerously low levels and commercial banks were able to accommodate their customers only by ...

The World of Funds of Funds

** Prof. Svetlozar T. Rachev (Corresponding Author): Institute for Statistics and Mathematical Economics, University of Karlsruhe, Germany & Department of Statistics and Applied Probability, University of California, Santa Barbara, USA. // Chair of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe, Kollegium am Schloss, Bau ...

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...

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,...