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Fund manager allocation
Fang, Jieyan; Kempf, Alexander; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
We study whether fund families efficiently allocate their fund managers to different market segments. Whether a fund manager can generate alpha simultaneously depends on her skills, and on the efficiency of the market segment in which she is employed. We show that in the more efficient...
Persistent link: https://www.econbiz.de/10008684958
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Volatility of aggregate volatility and hedge funds returns
Agarwal, Vikas; Arisoy, Y. Eser; Naik, Narayan Y. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2015
the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate …
Persistent link: https://www.econbiz.de/10011193684
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Fund manager allocation
Fang, Jieyan; Kempf, Alexander; Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2012
We show that fund families allocate their fund managers to different market segments such that their skill is rewarded best. Whether a fund manager's skill is rewarded by higher alpha depends on the efficiency of the market segment in which she works. Even skilled managers can generate alpha...
Persistent link: https://www.econbiz.de/10010957171
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On the relative performance of multi-strategy and funds of hedge funds
Agarwal, Vikas; Kale, Jayant R. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007
. The superior performance of MS funds continues to hold even when we control for fund characteristics such as size … MS funds and FOFs can co-exist in equilibrium in view of the significant differential in performance? We suggest that … ability in MS funds may be the driving force behind their superior performance relative to FOFs. …
Persistent link: https://www.econbiz.de/10010957220