Market Conditions and Fund Flows: Evidence from Hedge Funds

The Alpha in Fund of Hedge Funds Do Fund of Hedge Funds Managers Add Value?

All hedge funds are not created equal. A poorly chosen portfolio of hedge funds can produce disappointing results. All fund of funds managers are not created equal, either. A poor choice of fund of funds managers can yield disappointing results. This article is designed to outline the value proposition of a fund of hedge funds operation. We conclude that fund of funds add value primarily throug...

Securitization & Hedge Funds: Collateralized Fund Obligations

Do Hedge Funds Profit From Mutual-Fund Distress?

This paper explores the question of whether hedge funds engage in frontrunning strategies that exploit the predictable trades of others. One potential opportunity for front-running arises when distressed mutual funds—those suffering large outflows of assets under management—are forced to sell stocks they own. We document two pieces of evidence that are consistent with hedge funds taking advanta...

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 Fund Performance Persistence over Different Market Conditions

We provide novel evidence that hedge fund performance is persistent following periods of relative hedge fund market weakness, but not following periods of relative market strength. Specifically, we construct two performance measures, DownsideReturns and UpsideReturns, conditioning on whether the overall hedge fund market return is below or above its sample median. After adjusting for risk and f...