Quantitative Hedge Fund Selection (Part 2)

• المؤلف الرئيسي: TEO, Melvyn
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Hedge funds; performance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/bnp_research/36; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1029&context=bnp_research

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...