Quantitative Hedge Fund Selection (Part 2)

Do fund incentives, volatility exposure, and liquidity risk affect fund performance? We show that hedge funds with high performance fees and high water mark provisions tend to outperform those with low performance fees and no high water marks. Moreover, funds that short volatility and embrace liquid...

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Main Author:	TEO, Melvyn
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2011
Subjects:	Hedge funds performance Finance and Financial Management
Online Access:	https://ink.library.smu.edu.sg/bnp_research/36 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1029&context=bnp_research
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.bnp_research-10292018-06-13T02:36:58Z Quantitative Hedge Fund Selection (Part 2) TEO, Melvyn Do fund incentives, volatility exposure, and liquidity risk affect fund performance? We show that hedge funds with high performance fees and high water mark provisions tend to outperform those with low performance fees and no high water marks. Moreover, funds that short volatility and embrace liquidity risk deliver significantly higher returns relative to funds that long volatility and eschew liquidity risk. Investors with access to secure capital and managed account platforms may be positioned to take advantage of these performance differences. 2011-04-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/bnp_research/36 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1029&context=bnp_research http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection BNP Paribas Hedge Fund Centre eng Institutional Knowledge at Singapore Management University Hedge funds performance Finance and Financial Management
institution	Singapore Management University
building	SMU Libraries
country	Singapore
collection	InK@SMU
language	English
topic	Hedge funds performance Finance and Financial Management
spellingShingle	Hedge funds performance Finance and Financial Management TEO, Melvyn Quantitative Hedge Fund Selection (Part 2)
description	Do fund incentives, volatility exposure, and liquidity risk affect fund performance? We show that hedge funds with high performance fees and high water mark provisions tend to outperform those with low performance fees and no high water marks. Moreover, funds that short volatility and embrace liquidity risk deliver significantly higher returns relative to funds that long volatility and eschew liquidity risk. Investors with access to secure capital and managed account platforms may be positioned to take advantage of these performance differences.
format	text
author	TEO, Melvyn
author_facet	TEO, Melvyn
author_sort	TEO, Melvyn
title	Quantitative Hedge Fund Selection (Part 2)
title_short	Quantitative Hedge Fund Selection (Part 2)
title_full	Quantitative Hedge Fund Selection (Part 2)
title_fullStr	Quantitative Hedge Fund Selection (Part 2)
title_full_unstemmed	Quantitative Hedge Fund Selection (Part 2)
title_sort	quantitative hedge fund selection (part 2)
publisher	Institutional Knowledge at Singapore Management University
publishDate	2011
url	https://ink.library.smu.edu.sg/bnp_research/36 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1029&context=bnp_research
_version_	1681132765641179136

Quantitative Hedge Fund Selection (Part 2)

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