Hedge Funds in a Volatile Market
We show that relative to the first half of 2007, the volatility of hedge fund returns has doubled during the September 2007 to April 2008 period. At the same time, aggregate hedge fund returns have declined while exit rates have tripled. Commodity, macro, and, to a lesser extent, arbitrage funds out...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2008
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| 在線閱讀: | https://ink.library.smu.edu.sg/bnp_research/8 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1002&context=bnp_research |
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| 機構: | Singapore Management University |
| 語言: | English |
| 總結: | We show that relative to the first half of 2007, the volatility of hedge fund returns has doubled during the September 2007 to April 2008 period. At the same time, aggregate hedge fund returns have declined while exit rates have tripled. Commodity, macro, and, to a lesser extent, arbitrage funds outperformed during this period, while bottom-up funds underperformed. In Asia, funds engaging in less traditional strategies like arbitrage, event driven, fixed income, and distressed debt have emerged relatively unscathed. Our results also suggest that around the world, funds with headquarters near their investment markets, fewer assets under management, and higher performance fees have weathered the storm better than other funds. |
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