Hedge Funds: Performance, risk and capital formation William Fung David A. Hsieh Narayan Y. Naik Tarun Ramadorai Discussant Stephen J. Brown www.stern.nyu.edu/~sbrown NYU Stern School of Business Major contributions of paper Heterogeneity among funds of funds Fund flow based on relative, not absolute return Fund flow leads to an erosion of performance Strong support for Berk and Green hypothesis Triumph of mediocrity in fund performance Substantial growth of funds of funds 800
Number of Funds 700 600 500 400 300 200 100 0 1/31/1995 1/30/1997 1/31/1999 1/30/2001 1/31/2003
All TASS $US Funds of Funds 1/30/2005 Substantial growth of funds of funds $120 AUM ($US Billion) $100 $80 $60 $40 $20 $0 1/31/1995 1/30/1997 1/31/1999
1/30/2001 1/31/2003 All TASS $US Funds of Funds 1/30/2005 Relative performance of Funds of Funds 6 Value (1900 = $1) 5 4 CRSP Value Weighted Market 3
CISDM Fund of Funds index 2 1 0 19 19 1 1 2 2 1 2 90 99 94 996 998 00 00 00 2 2 4 0
Source: CRSP and CISDM Considerable heterogeneity among funds of funds 0.14 0.12 0.1 Mean $187.6 Million Median $62.6 Million 0.08 0.06 0.04 0.02 0 $0
$1,000 $2,000 $3,000 $4,000 AUM ($US Million) All TASS $US Funds of Funds December 31, 2005 The Myth of Market Neutrality Market neutrality is not a strategy It is an outcome of a strategy Hedge funds have significant market exposure Fung and Hsieh (2003) Smart money follows alpha
The Triumph of Mediocrity Secrist, H. (1933). The Triumph of Mediocrity in Business. Bureau of Business Research, Northwestern University, p.176. The Failure of Mediocrity? Secrist, H. (1933). The Triumph of Mediocrity in Business. Bureau of Business Research, Northwestern University, p.176. Diseconomies of Scale? Prior month assets under management 1st 2nd 3rd 4th
5th All qui quintil quintil quintil quintil Funds ntil e e e e e Funds of 7.31% 9.12% 8.61% Funds 0.119 0.183 0.220 9.77% 10.28 % 10.08
% % % hedg e 0.134 0.174 0.177 0.173 0.170 0.160 funds All TASS $US Funds 1995-2004. Value weighted returns, Sharpe ratio in italics Conclusion Paper provides strong evidence Heterogeneity among funds of funds Funds flow to alpha, not absolute return A triumph of mediocrity? Evidence of diseconomies of scale is mixed
Word Equations CH.3.c ... The Law Law of Conservation of Mass Law of Definite Proportions Balancing Equations Step 1: Write the equation Step 2: Count the Atoms on each side Step 3: Balance the # of atoms Step 4: Verify...
Exemplos: Verbo quanto à predicação Os verbos de ligação podem expressar: Os principais verbos de ligação são ser, estar, ficar, permanecer, parecer, andar, continuar, tornar-se. O Brasil é um grande país.
In a written statement, the 3,206-hr flight instructor reported that the flight was the first training flight in the helicopter for the student, who is a 55-hr fixed-wing private pilot. The lesson started with an outline briefing of the training...
Since we want this to happen at the same time, first, drag in the control statement, Do together Drag in skateboard turn to face, select jump. * Animating Parts Of Objects * To animate part of an object, expand the...
After 1950 not in PD Contracts Independent Contractors Assignment of Rights (script) Assignment of Rights (music) Film Permits Theatrical Permits Stock Footage Contracts Creative Works Rights Policy All Regent University students, staff and faculty agree that all right, title and...
Grid integration Voltage Control ... A Nonlinear Adaptive Filter for Improved Power System Operation and Protection Research Overview: Focuses on the application of a new algorithm to improve power system operation Power quality issues of concern Need for voltage amplitude,...
Ready to download the document? Go ahead and hit continue!