Hedge funds, managerial skill, and macroeconomic variables☆

Skill, Luck, and the Multiproduct Firm: Evidence from Hedge Funds

We propose that higher skilled firms diversify in equilibrium even though managers exploit idiosyncratic performance shocks to time diversification moves. We formalize this intuition in a mistakefree equilibrium and test our predictions using a large panel dataset on the hedge fund industry 19772006. The results show that returns fall following new fund launches, but are 13 basis points per mon...

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,...

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

Incentives in Hedge Funds

We investigate a game of delegated portfolio management such as hedge funds featuring risk-neutrality, hidden types, and hidden actions. We show that capital gain tax plays the decisive role in solving the incentive problem. We characterize the constrained optimal fee scheme and capital gain tax rate; the fee after taxation must be linear and affected by gains and losses in a low-powered and sy...

Hedge Funds: Risk and Return

ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...