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Journal articles on the topic 'Hedge funds'

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Author: Grafiati

Published: 4 June 2021

Last updated: 30 July 2024

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1

Agarwal, Vikas, Nicole M. Boyson, and Narayan Y. Naik. "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds." Journal of Financial and Quantitative Analysis 44, no. 2 (April 2009): 273–305. http://dx.doi.org/10.1017/s0022109009090188.

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AbstractRecently, there has been rapid growth in the assets managed by “hedged mutual funds”—mutual funds mimicking hedge fund strategies. We examine the performance of these funds relative to hedge funds and traditional mutual funds. Despite using similar trading strategies, hedged mutual funds underperform hedge funds. We attribute this finding to hedge funds’ lighter regulation and better incentives. Conversely, hedged mutual funds outperform traditional mutual funds. Notably, this superior performance is driven by managers with experience implementing hedge fund strategies. Our findings have implications for investors seeking hedge-fund-like payoffs at a lower cost and within the comfort of a regulated environment.

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2

Acito, Christopher J., and F. Peter Fisher. "Fund of Hedge Funds." Journal of Alternative Investments 4, no. 4 (March 31, 2002): 25–35. http://dx.doi.org/10.3905/jai.2002.319029.

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3

Yuen, Janet. "Do Hedge Funds Hedge?" CFA Digest 32, no. 2 (May 2002): 5–6. http://dx.doi.org/10.2469/dig.v32.n2.1052.

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4

Asness, Clifford S., Robert J. Krail, and John M. Liew. "Do Hedge Funds Hedge?" Journal of Portfolio Management 28, no. 1 (October 31, 2001): 6–19. http://dx.doi.org/10.3905/jpm.2001.319819.

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5

El Kalak, Izidin, Alcino Azevedo, and Robert Hudson. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics." International Review of Financial Analysis 48 (December 2016): 85–97. http://dx.doi.org/10.1016/j.irfa.2016.09.008.

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6

Agarwal, Vikas, and Narayan Y. Naik. "Hedge Funds." Foundations and Trends® in Finance 1, no. 2 (2005): 103–69. http://dx.doi.org/10.1561/0500000002.

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7

Caslin, J. J. "Hedge Funds." British Actuarial Journal 10, no. 3 (August 1, 2004): 441–521. http://dx.doi.org/10.1017/s1357321700002671.

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ABSTRACTThe paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. One of the key characteristics of such a hedge fund is that it has a low correlation with the balanced managed fund. The paper puts forward a new way of explaining correlation so that it can be more readily understood, and suggests methods of analysis for dealing with the fact that correlation is unstable. Volatility correlation is also examined because of its importance in reducing the risk of a portfolio.An outline of the characteristics and risks of three types of hedge funds, namely, long/short equity, convertible arbitrage and merger arbitrage, together with some questions investors might put to prospective hedge fund managers is given in Section 5.Some of the very basic statistical analysis techniques used in assessing the past performance of hedge funds are given in Section 6. Considerable emphasis is put on the need to examine daily return data as an insight into the quality of the manager's IT systems, his risk management, evidence of smoothing of returns, and to gain access to a higher number of data points for assessing the repeatability of performance.An entire section of the paper is devoted to gaining a clear understanding of a prospective hedge fund manager's volatility management strategy because of its importance in the context of the fee structure of hedge funds and its importance for assessing the ability of a hedge fund to reduce the risk and increase the returns of a balanced managed fund.Funds of hedge funds are examined in the final section, and the section concludes that large sophisticated institutional investors may wish to create a portfolio of hedge funds rather than invest in a fund of hedge funds.

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8

Morgan, Jamie. "Hedge funds." Critical perspectives on international business 9, no. 4 (October 21, 2013): 377–97. http://dx.doi.org/10.1108/cpoib-06-2013-0020.

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9

Yago, Glenn, Lalita Ramesh, and Noah E. Hochman. "Hedge Funds." Journal of Alternative Investments 2, no. 1 (June 30, 1999): 43–56. http://dx.doi.org/10.3905/jai.1999.318914.

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10

Yago, Glenn, and Lalita Ramesh. "Hedge Funds." Journal of Alternative Investments 2, no. 2 (September 30, 1999): 69–76. http://dx.doi.org/10.3905/jai.1999.318942.

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11

Zask, Ezra. "Hedge Funds." Journal of Alternative Investments 3, no. 3 (December 31, 2000): 33–42. http://dx.doi.org/10.3905/jai.2000.318964.

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12

Zask, Ezra. "Hedge Funds." Journal of Alternative Investments 3, no. 3 (December 31, 2000): 43–46. http://dx.doi.org/10.3905/jai.2000.318965.

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13

Könberg, Magnus, and Martin Lindberg. "Hedge Funds." Journal of Alternative Investments 4, no. 1 (June 30, 2001): 21–31. http://dx.doi.org/10.3905/jai.2001.318999.

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14

Giraud, Jean René, James R. Hedges, and Ted Wright. "Hedge Funds." Journal of Alternative Investments 4, no. 3 (December 31, 2001): 27–37. http://dx.doi.org/10.3905/jai.2001.319018.

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15

Gregoriou, Greg N. "Hedge Funds." Journal of Alternative Investments 5, no. 2 (September 30, 2002): 97–98. http://dx.doi.org/10.3905/jai.2002.319058.

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16

Terhune, Hannah M. "Hedge Funds." Wilmott 2013, no. 63 (January 2013): 8–11. http://dx.doi.org/10.1002/wilm.10178.

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17

Ineichen, Alexander M. "Funds of Hedge Funds." Journal of Wealth Management 4, no. 4 (January 31, 2002): 47–63. http://dx.doi.org/10.3905/jwm.2002.320425.

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18

Fothergill, Martin, and Carolyn Coke. "Funds of Hedge Funds." Journal of Alternative Investments 4, no. 2 (September 30, 2001): 7–16. http://dx.doi.org/10.3905/jai.2001.319006.

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19

Mellone Júnior, Geraldo. "Fundos multimercados." GV-executivo 5, no. 3 (October 3, 2006): 58. http://dx.doi.org/10.12660/gvexec.v5n3.2006.34302.

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A indústria de hedge funds alcançou sua maturidade em mercados desenvolvidos. Populares em países como os Estados Unidos, esses fundos baseiamse em uma estratégia de investimento em diferentes tipos de ativos, apresentando em geral bons resultados. O equivalente brasileiro dos hedge funds são os fundos de investimento multimercados. O artigo analisa as características desses fundos, comparando-os com os hedge funds, e discute seu desempenho recente.

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20

Seretakis, Alexandros. "EU Hedge Fund Regulation: Hedge Funds and Single Supervision." European Company Law 15, Issue 6 (December 1, 2018): 213–20. http://dx.doi.org/10.54648/eucl2018031.

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21

Kooli, Maher. "The diversification benefits of hedge funds and funds of hedge funds." Derivatives Use, Trading & Regulation 12, no. 4 (February 2007): 290–300. http://dx.doi.org/10.1057/palgrave.dutr.1850053.

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22

Getmansky, Mila. "The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance." Quarterly Journal of Finance 02, no. 01 (March 2012): 1250003. http://dx.doi.org/10.1142/s2010139212500036.

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This paper analyzes the life cycles of hedge funds. Using the Lipper TASS database it provides category and fund specific factors that affect the survival probability of hedge funds. The findings show that in general, investors chasing individual fund performance, thus increasing fund flows, decrease probabilities of hedge funds liquidating. However, if investors chase a category of hedge funds that has performed well (favorably positioned), then the probability of hedge funds liquidating in this category increases. We interpret this finding as a result of competition among hedge funds in a category. As competition increases, marginal funds are more likely to be liquidated than funds that deliver superior risk-adjusted returns. We also find that there is a concave relationship between performance and lagged assets under management. The implication of this study is that an optimal asset size can be obtained by balancing out the effects of past returns, fund flows, competition, market impact, and favorable category positioning that are modeled in the paper. Hedge funds in capacity constrained and illiquid categories are subject to high market impact, have limited investment opportunities, and are likely to exhibit an optimal size behavior.

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23

Grinblatt, Mark, Gergana Jostova, Lubomir Petrasek, and Alexander Philipov. "Style and Skill: Hedge Funds, Mutual Funds, and Momentum." Management Science 66, no. 12 (December 2020): 5505–31. http://dx.doi.org/10.1287/mnsc.2019.3433.

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Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

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24

Stulz, René M. "Hedge Funds: Past, Present, and Future." Journal of Economic Perspectives 21, no. 2 (April 1, 2007): 175–94. http://dx.doi.org/10.1257/jep.21.2.175.

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Assets managed by hedge funds have grown faster over the last ten years than assets managed by mutual funds. Hedge funds and mutual funds perform the same economic function, but hedge funds are largely unregulated while mutual funds are tightly regulated. This paper compares the organization, performance, and risks of hedge funds and mutual funds. It then examines whether one can expect increasing convergence between these two investment vehicles and concludes that the performance gap between hedge funds and mutual funds will narrow, that regulatory developments will limit the flexibility of hedge funds, and that hedge funds will become more institutionalized.

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25

Muhtaseb, Majed R. "A hedge fund collapse and diversification 101: lessons to stakeholders." Journal of Financial Crime 28, no. 3 (April 6, 2021): 774–83. http://dx.doi.org/10.1108/jfc-09-2020-0198.

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Purpose The purpose of this paper is events and analysis of present a hedge fund collapse, offer lessons to investors and hedge fund industry stakeholders and propose a possible remedy for mitigating operational risks and associated potential losses. Design/methodology/approach This study focused on one hedge fund case study and conducted a thorough investigation of the events that led to the collapse and eventual filing of the Securities and Exchange Commission (SEC) complaint. All articles and publications used for this research are available in the public domain and accessible. Findings Wood River Capital Management had concentrated the portfolios of its two hedge funds into one stock, EndWave Corp. Fund Manager violated terms of offering memorandum. Investors were not made aware of and did not discover the operational risks. Stock price of EndWave plummeted. There was no independent oversight over the funds. The values of the two funds dropped significantly. Investors attempted to redeem but the funds were not liquid. The SEC filed a complaint. Mr Whittier was sentenced for three years in jail. Research limitations/implications It is an analysis of US-based hedge fund, not an empirical paper. The article presents critical analysis and offers many valuable lessons to hedge fund industry stakeholders. Practical implications This paper helps investors in terms of identifying a hedge fund’s operational risks and conducting more effective due diligence while vetting a hedge fund. This could potentially save investors and constituents billions of dollars, by avoiding potential hedge fund collapses. This paper suggests that the scope of fiduciary duty be expanded to cover hedge fund industry vendors. Originality/value Thorough research of a hedge fund that collapsed because of poor investment decisions, not self-enrichment at expense of fund investors. This paper provides lessons to investors in terms of identifying a hedge fund’s critical operational risks and conducting value preserving due diligence. This could potentially save hedge funds investors billions of dollars, by avoiding potential hedge fund collapses. This paper recommends that the scope of fiduciary duty be expanded to cover hedge fund industry vendors.

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26

Gregoriou, Greg N., and Maher Kooli. "The profiles of merged hedge funds, funds of hedge funds, and CTA." Journal of Asset Management 18, no. 1 (July 5, 2016): 49–63. http://dx.doi.org/10.1057/s41260-016-0002-y.

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27

Brunel, Jean L. P. "A New Perspective on Hedge Funds and Hedge Fund Allocations." AIMR Conference Proceedings 2003, no. 6 (July 31, 2003): 9–22. http://dx.doi.org/10.2469/cp.v2003.n6.3332.

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28

Gregoriou, Greg N., and Daniel Capocci. "The Complete Guide to Hedge Funds & Hedge Fund Strategies." Journal of Wealth Management 16, no. 3 (October 31, 2013): 141–42. http://dx.doi.org/10.3905/jwm.2013.16.3.141.

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29

LHABITANT, FRANÇOIS‐SERGE. "Assessing Market Risk for Hedge Funds and Hedge Fund Portfolios." Journal of Risk Finance 2, no. 4 (March 2001): 16–32. http://dx.doi.org/10.1108/eb043472.

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30

Kooli, Maher. "Reconsidering funds of hedge funds." Journal of Derivatives & Hedge Funds 19, no. 4 (November 2013): 343–44. http://dx.doi.org/10.1057/jdhf.2014.2.

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31

Butowsky, Michael R., and Michele L. Gibbons. "Hedge fund marketing by broker‐dealers questions and comments in response to recent developments." Journal of Investment Compliance 4, no. 3 (July 1, 2003): 7–12. http://dx.doi.org/10.1108/15285810310813158.

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This article discusses the implications of heightened regulatory attention to hedge funds by focusing on the practical questions that are on the minds of many in the hedge fund industry and, possibly, even in the thoughts of the regulators themselves. The primary regulatory condition relevant to the offer and sale of interests in hedge funds is the prohibition on general solicitation or general advertising by the sponsor of the hedge fund. Under NASD rules, brokers must (1) provide balanced disclosures in their promotional efforts; (2) perform reasonable‐basis suitability determinations; (3) perform customer‐specific suitability determinations; (4) supervise associated persons selling hedge funds and funds of hedge funds; and (5) train associated persons regarding the features, risks, and suitability of hedge funds and funds of hedge funds. Internal controls, including supervision and compliance, must include written procedures to ensure that sales of hedge funds and funds of hedge funds comply with all relevant NASD and SEC rules. Promotion of hedge funds must be balanced by a fair presentation of the risks and potential disadvantages of hedge fund investing

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32

Lechner, G., and B. Fauster. "Relationship between mutual funds and hedge funds performance in different periods." Finance, Markets and Valuation 4, no. 1 (2018): 1–14. http://dx.doi.org/10.46503/qluv5221.

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The hedge fund literature has already shown that hedge funds and mutual funds follow a different strategy. One result of the literature was that mutual funds herd into or out of stocks following the herd of hedge funds one quarter later. The aim of this paper is to find out whether herding behavior of mutual funds have changed after the financial crisis. Our paper compares mutual funds and equity hedge funds in general (not only large hedge funds). The hypothesis is that mutual funds are not herding to equity hedge funds as strong as before the crisis. We use OLS regressions and correlation analysis to test the aforementioned hypothesis. We found that the monthly returns of hedge funds and mutual funds have synchronized in developed markets after the financial crisis. Therefore, the argument that mutual funds herd hedge funds is at least not as strong as before. The improving effectiveness and price informativeness could be an explanation for this changing environment.

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33

Ostrovsky, Katerina. "Do the Best Hedge Funds Hedge?" CFA Digest 41, no. 2 (May 2011): 6–7. http://dx.doi.org/10.2469/dig.v41.n2.17.

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34

Titman, Sheridan, and Cristian Tiu. "Do the Best Hedge Funds Hedge?" Review of Financial Studies 24, no. 1 (October 18, 2010): 123–68. http://dx.doi.org/10.1093/rfs/hhq105.

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35

Haddad, Mahmoud. "Using Alternative Investment Vehicles to Replication Hedge Funds Risk and Return." International Journal of Financial Research 14, no. 1 (January 1, 2023): 13. http://dx.doi.org/10.5430/ijfr.v14n1p13.

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In this paper we will compare the risk return pattern along with the performance measure of hedge funds to alternative investment vehicles, namely the Exchange Traded Funds (ETFs). Our results showed that exchange traded funds can be used to emulate the hedged funds portfolios’ risk and return matrix, and performance. Exchange traded funds are required to report their investment strategies to the Security and Exchange Commission. Hedged funds have proprietary investment strategies and do not have to report their investment strategies to the Security and Exchange Commission.

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36

Champarnaud, François. "Regulating Hedge Funds." Revue d'économie financière (English ed.) 60, no. 5 (2000): 193–205. http://dx.doi.org/10.3406/ecofi.2000.4514.

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37

Gautier, Henri. "Les hedge funds." Terminal, no. 110 (April 15, 2012): 150. http://dx.doi.org/10.4000/terminal.1276.

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38

Ineichen, Alexander M. "European Hedge Funds." Journal of Portfolio Management 30, no. 4 (July 31, 2004): 254–67. http://dx.doi.org/10.3905/jpm.2004.254.

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39

Brown, Stephen J. "Why Hedge Funds?" Financial Analysts Journal 72, no. 6 (November 2016): 5–7. http://dx.doi.org/10.2469/faj.v72.n6.6.

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40

Naik, Narayan Y., and Mark Tapley. "Demystifying hedge funds." Business Strategy Review 18, no. 2 (June 2007): 68–72. http://dx.doi.org/10.1111/j.1467-8616.2007.00473.x.

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41

Mediratta, Marc. "European Hedge Funds." Journal of Wealth Management 5, no. 1 (April 30, 2002): 39–46. http://dx.doi.org/10.3905/jwm.2002.320432.

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42

Fischer, Mario, Matthias X. Hanauer, and Robert Heigermoser. "Synthetic hedge funds." Review of Financial Economics 29 (April 2016): 12–22. http://dx.doi.org/10.1016/j.rfe.2016.02.002.

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43

Sun, Lin, and Melvyn Teo. "Public hedge funds." Journal of Financial Economics 131, no. 1 (January 2019): 44–60. http://dx.doi.org/10.1016/j.jfineco.2018.09.004.

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44

Sialm, Clemens, Zheng Sun, and Lu Zheng. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds." Review of Financial Studies 33, no. 10 (December 23, 2019): 4771–810. http://dx.doi.org/10.1093/rfs/hhz138.

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Abstract Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.

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45

Franke, Günter. "Geschäfts- und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?" Perspektiven der Wirtschaftspolitik 1, no. 3 (August 2000): 301–18. http://dx.doi.org/10.1111/1468-2516.00019.

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Abstract Hedge funds are characterized by short-term investments in over- or undervalued financial instruments. Their policy is highly dynamic as opposed to the more long-term investments of mutual funds. On average, the risk taken by hedge funds appears to be higher than that taken by mutual funds, although quite risky mutual funds also exist. Banks sometimes take large default risks, as evidenced by various banking crises. Also banks trade heavily on the term structure of interest rates. Hence, in these respects it appears that banks take risks that are at least as high as hedge funds. In short-term proprietary trading, banks and hedge funds face similar challenges. Overall, hedge funds cannot be regarded as more dangerous than banks. Since hedge funds trade with professional investors and banks, there is little reason to protect these counterparties by special regulation. Moreover, most hedge funds are rather small players and do not seem to act in herds. Therefore, the probability of systemic risks created by hedge funds appears to be very low. As a consequence, market control of hedge funds supported by more transparency appears to be preferable to specific hedge fund regulation.

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46

McCarthy, David. "Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long/Short Funds." Journal of Alternative Investments 16, no. 3 (December 31, 2013): 6–24. http://dx.doi.org/10.3905/jai.2013.16.3.006.

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47

Shah, Tejal, Kirti Pandey, and Rupalben Nayak. "Hedge Fund Management in India." International Journal for Research in Applied Science and Engineering Technology 11, no. 3 (March 31, 2023): 222–30. http://dx.doi.org/10.22214/ijraset.2023.49396.

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Abstract: The study evaluates the performance of Indian Hedge Funds in comparison to the hedge fund of Asia, Emerging market, Australia, China, Japan and global hedge funds. If also examines the interrelationship between the return of Indian Hedge Funds in comparison to the return from Indian Equity market. The data were analysed by using annualized standard deviation, Sharpe ratio, correlation, ANOVA, and regression analysis. The study revealed that performance of Indian Hedge Funds is significantly behind the performance of the above listed seven hedge funds regions. It is also observed that the exists a positive correlation between Indian Hedge Funds and Indian Equity Market.

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48

Cassar, Gavin, and Joseph Gerakos. "Determinants of Hedge Fund Internal Controls and Fees." Accounting Review 85, no. 6 (November 1, 2010): 1887–919. http://dx.doi.org/10.2308/accr.2010.85.6.1887.

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ABSTRACT: We investigate the determinants of hedge fund internal controls and their association with the fees that funds charge investors. Hedge funds are subject to minimal regulation. Hence, hedge fund managers voluntarily implement internal controls, and managers and investors freely contract on fees. We find that internal controls are stronger in funds with higher potential agency costs. Further, internal controls are stronger in funds domiciled in jurisdictions that provide investors with limited legal redress for fraud and financial misstatements. Short selling funds, however, are more likely to protect information about their investment positions by implementing weaker internal controls. With respect to fees, we find that the percentage of positive profits that the manager receives increases in the strength of the fund’s internal controls. Finally, removing the manager from setting and reporting the fund’s official net asset value, along with reputational incentives and monitoring by leverage providers, are all associated with lower likelihoods of future regulatory investigations of fraud and/or financial misstatement.

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49

Horan, Stephen M. "Constructing the Optimal Hedge Fund of Funds." CFA Digest 30, no. 1 (February 2000): 92–93. http://dx.doi.org/10.2469/dig.v30.n1.638.

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50

Amenc, Noël, Philippe Malaise, and Mathieu Vaissié. "The fund of hedge funds reporting puzzle." Journal of Risk Finance 7, no. 1 (January 2006): 24–37. http://dx.doi.org/10.1108/15265940610637780.

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