Hedge Funds in a Volatile Market

• Main Author: TEO, Melvyn
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: hedge funds; volatility; hedge fund performance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/bnp_research/8; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1002&context=bnp_research
• Institution: Singapore Management University

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...