Publication Type
Magazine 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
Research Areas
Finance
Publication
Hedge Fund Insights: Statistical Digest of the BNP Paribus Hedge Fund Centre at SMU
First Page
1
Last Page
7
Publisher
BNP Paribas Hedge Fund Centre, Singapore Management University
City or Country
Singapore
Citation
Teo, Melvyn. 2008 July. Hedge Funds in a Volatile Market. Hedge Fund Insights: Statistical Digest of the BNP Paribus Hedge Fund Centre at SMU, 1-7.
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.