Publication Type

Journal Article

Version

Publisher’s Version

Publication Date

7-2008

Abstract

We show that relative to the first half of 2007, the volatility of hedge fund returns has doubled during the September 2007 to April 2008 period. At the same time, aggregate hedge fund returns have declined while exit rates have tripled. Commodity, macro, and, to a lesser extent, arbitrage funds outperformed during this period, while bottom-up funds underperformed. In Asia, funds engaging in less traditional strategies like arbitrage, event driven, fixed income, and distressed debt have emerged relatively unscathed. Our results also suggest that around the world, funds with headquarters near their investment markets, fewer assets under management, and higher performance fees have weathered the storm better than other funds.

Keywords

hedge funds, volatility, hedge fund performance

Discipline

Finance and Financial Management

Publication

Hedge Fund Insights: Statistical Digest of the BNP Paribus Hedge Fund Centre at SMU

First Page

1-7

Publisher

BNP Paribas Hedge Fund Centre, Singapore Management University

City or Country

Singapore

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