Publication Type
Magazine Article
Version
Publisher’s Version
Publication Date
4-2011
Abstract
Do fund incentives, volatility exposure, and liquidity risk affect fund performance? We show that hedge funds with high performance fees and high water mark provisions tend to outperform those with low performance fees and no high water marks. Moreover, funds that short volatility and embrace liquidity risk deliver significantly higher returns relative to funds that long volatility and eschew liquidity risk. Investors with access to secure capital and managed account platforms may be positioned to take advantage of these performance differences.
Keywords
Hedge funds, performance
Discipline
Finance and Financial Management
Research Areas
Finance
Publication
Hedge Fund Insights
First Page
2
Last Page
8
Publisher
BNP Paribus Hedge Fund Centre, Singapore Management University
City or Country
Singapore
Citation
Teo, Melvyn. 2011 April. Quantitative Hedge Fund Selection (Part 2). Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU, 2-8.
Copyright Owner and License
BNP Paribus Hedge Fund Centre, Singapore Management University
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.