Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds
نویسندگان
چکیده
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, WCBA, UFL, Gainesville, FL 32611, USA. Email: [email protected]. Tel: +1-352-392-8913. + Sugata Ray is from University of Florida, Warrington College of Business, Box 117168, WCBA, UFL, Gainesville, FL 32611, USA. Email: [email protected]. Tel: +1-352-392-8022.
منابع مشابه
Development of an Analytical Framework for Hedge Fund Investment∗
This research attempts to develop an analytical framework for hedge fund investment. Various issues related to the hedge fund investment have been addressed. This paper focuses on three distinct areas of hedge fund research, namely, bias in hedge fund data, the classification of hedge funds, and performance attribution of hedge funds. All studies, reported in this paper, have been carried out u...
متن کامل“evaluating and Predicting the Failure Probabilities of Hedge Funds”
Hedge funds have the most sophisticated risk management practices; however, hedge funds also appear to have a short lifetime relative to other managed funds. In this study, we investigate the failure probabilities of hedge funds—particularly the failures due to financial distress. We forecast the failure probabilities of hedge funds using both a proportional hazard model and a logistic model. B...
متن کاملDo Funds of Hedge Funds Add Value? Evidence from their holdings!!
We examine the value of fund of funds (FoFs) using a new database of the funds’ hedge fund holdings. This data allows a first ever look at the types of hedge funds that FoFs select, as well the ability to gauge the FoFs’ skill at hiring and firing hedge fund managers. We find that FoFs hire larger, younger, and more illiquid hedge funds that have positive past performance. FoFs select hedge fun...
متن کاملThe Effect of Manager Gender on Hedge Fund Risk and Performance
PURPOSE OF THE STUDY: This master's thesis examines among the hedge funds managed by a sole manager, whether differences in perfomance and risk between ones managed by female (female funds) and ones managed by male managers (male funds) exists. For simplicity, in this study such differences are refered as the ”gender effects” of hedge fund managers. I also explore whether the gender effect on p...
متن کاملManaged Futures and Hedge Funds: a Match Made in Heaven
In this paper we study the possible role of managed futures in portfolios of stocks, bonds, and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs. Apart from their lower expected return, managed futures appear to be more effective diversifiers than hedg...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Management Science
دوره 62 شماره
صفحات -
تاریخ انتشار 2016