Hedge Funds: Performance, Risk, and Capital Formation

Hedge Funds: Performance, Risk, and Capital Formation

  • WILLIAM FUNG
  • DAVID A. HSIEH
  • NARAYAN Y. NAIK
  • TARUN RAMADORAI

Article first published online: 19th July 2008 DOI: 10.1111/j.1540-6261.2008.01374.x

Abstract


We use a comprehensive data set of funds‐of‐funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund‐of‐funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds‐of‐funds consistently delivers alpha. The alpha‐producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts. These capital inflows attenuate the ability of the alpha producers to continue to deliver alpha in the future.

Sign in to access the full article.

Related articles


The Selection and Termination of Investment Management Firms by Plan Sponsors

  • AMIT GOYAL
  • SUNIL WAHAL

Article first published online: 19th July 2008 / DOI: 10.1111/j.1540-6261.2008.01375.x

Read Article

Optimal Decentralized Investment Management

  • JULES H. Van BINSBERGEN
  • MICHAEL W. BRANDT
  • RALPH S. J. KOIJEN

Article first published online: 19th July 2008 / DOI: 10.1111/j.1540-6261.2008.01376.x

Read Article

International Cross‐Listing, Firm Performance, and Top Management Turnover: A Test of the Bonding Hypothesis

  • UGUR LEL
  • DARIUS P. MILLER

Article first published online: 19th July 2008 / DOI: 10.1111/j.1540-6261.2008.01377.x

Read Article

Feedback Effects and Asset Prices

  • EMRE OZDENOREN
  • KATHY YUAN

Article first published online: 19th July 2008 / DOI: 10.1111/j.1540-6261.2008.01378.x

Read Article

Front Matter

Article first published online: 19th July 2008 / DOI: 10.1111/j.1540-6261.2008.01366.x

Read Article

Economic Links and Predictable Returns

  • LAUREN COHEN
  • ANDREA FRAZZINI

Article first published online: 19th July 2008 / DOI: 10.1111/j.1540-6261.2008.01379.x

Read Article

Are you an Author?


Please read our submission requirements and find out how to submit your paper to the Journal of Finance

Submit a paper