| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5584 |
| DP5584 Fiscal Policy and Macroeconomic Stability Within a Currency Union | |
| David Vines; Simon Wren-Lewis; Tatiana Kirsanova | |
| 发表日期 | 2006-03-22 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns. We divide up the past ten years into three distinct subperiods and demonstrate that the average FoF has only delivered alpha in the short second period from October 1998 to March 2000. In the cross section of FoFs, however, we are able to identify FoFs capable of delivering persistent alpha. We find that these more successful hedge funds experience far greater (and steadier) capital inflows than their less fortunate counterparts. Berk and Green's (2004) rational model of active portfolio management implies that diminishing returns to scale combined with the inflow of new capital leads to the erosion of superior performance over time. In keeping with this implication, we provide evidence that even successful hedge funds have experienced a recent, dramatic decline in risk-adjusted performance. |
| 主题 | Financial Economics |
| 关键词 | Hedge funds Performance Alpha Factor models Flow Funds-of-hedge funds |
| URL | https://cepr.org/publications/dp5584 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534434 |
| 推荐引用方式 GB/T 7714 | David Vines,Simon Wren-Lewis,Tatiana Kirsanova. DP5584 Fiscal Policy and Macroeconomic Stability Within a Currency Union. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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