Dieses Papier untersucht vier Themenbereiche: Erstens werden die Determinanten der Netto-Zuflüsse in Hedgefonds untersucht. Zweitens betrachten wir die Anreize für das Management von Hedgefonds. Drittens untersuchen wir das Verhalten von Hedgefondsinvestoren. Schliesslich betrachten wir, was...

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the returns above a certain benchmark. We investigate how...

In this paper, we identify and document the empirical characteristics of the key drivers ofconvertible arbitrage as a strategy and how they impact the performance of convertible arbitragehedge funds. We show that the returns of a buy-and-hedge strategy involving taking a longposition in...

This paper studies the “confidential holdings” of institutional investors, especially hedge funds, where thequarter-end equity holdings are disclosed with a significant delay through amendments to the Form 13F.Our evidence supports hiding private information as the dominant motive for hedge...

In dieser Arbeit werden die systematischen Risiken von Distressed-Securities-Hedgefonds untersucht. Es finden sich vier Faktoren, die das systematische Risiko dieser Strategiegruppe weitgehend erklären: Das sind die Renditen zweier Optionsstrategien, (1.) einer Short-Put-Positionen auf einen...

The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...

Data envelopment analysis (DEA) is a nonparametric method from the area of operationsresearch that measures the relationship of produced outputs to assignedinputs and determines an efficiency score. This efficiency score can be interpretedas a performance measure in investment analysis. Recent...

In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect hedging strategies by a nonlinear version of...

This paper empirically investigates the risk and performance of three types of alternative betaproducts over the January 2002 to September 2009 time period: funds of hedge funds (FHFs),investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). Weshow that IHFIs are true...