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        Hedge Fund Consistency Index


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Hedge Fund Publications

Hedge fund benchmarks: A risk-based approach

W Fung, DA Hsieh - Financial Analysts Journal, 2004 - Taylor & Francis

… diversified hedge fund portfolios (as proxied by indexes of hedge funds and funds of hedge
… identifying differences among major hedge fund indexes that is free of the biases inherent in …

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Hedge fund leverage

A Ang, S Gorovyy, GB Van Inwegen - Journal of Financial Economics, 2011 - Elsevier

… In addition to hedge fund volatility, we also use hedge fund flows as a control variable.
We construct hedge fund-level flows over the past three months using the return and AUM …

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Hedge fund activism: A review

A BravW JiangH Kim - Foundations and Trends® in …, 2010 -

… and investors in the hedge funds? Our … hedge fund activism events in US firms during
2001–2007. We also review work by other researchers on both US and international hedge fund …

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Analysis of hedge fund performance

D Capocci, G Hübner - Journal of Empirical Finance, 2004 - Elsevier

… Using one of the largest hedge fund databases ever used (2796 individual funds including
801 dissolved), we investigate hedge funds performance using various asset pricing models, …

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The risk in hedge fund strategies: Theory and evidence from trend followers

W Fung, DA Hsieh - The review of financial studies, 2001 -

… Because hedge funds are typically organized as private investment vehicles for … in hedge
fund strategies. This article illustrates a general methodology for understanding hedge fund risk …

Save Cite Cited by 1431 Related articles All 21 versions


Hedge fund performance and manager skill

FR Edwards, MO Caglayan - Journal of Futures Markets …, 2001 - Wiley Online Library

… some hedge fund managers may possess skill. This interpretation also is reinforced by our
finding that hedge fund performance is positively related to the incentive fee paid by hedge …

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Hedge fund performance: 1990–1999

B Liang - Financial Analysts Journal, 2001 - Taylor & Francis

… bias for hedge funds was 2.43 percent. I examined year 1998 in detail because hedge funds
… For example, the highest volatility for hedge fund returns occurred in 1998, and more funds …

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High‐water marks and hedge fund management contracts

WN GoetzmannJE Ingersoll Jr… - The Journal of …, 2003 - Wiley Online Library

… In this paper, we show that hedge fund performance fees are valuable to money managers,
… of a hedge fund management company. The growth of the hedge fund industry over the past …

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Investing in talents: Manager characteristics and hedge fund performances

H Li, X Zhang, R Zhao - Journal of Financial and Quantitative …, 2011 -

… among hedge fund managers in either generating risk-adjusted returns or running hedge …
rather symmetric relation between hedge fund flows and past performance, and that hedge …

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The long-term effects of hedge fund activism

LA BebchukA BravW Jiang - 2015 -

… extensive news searches in Factiva using the hedge fund and target company names as
key words, plus a general search using various combinations of “hedge fund” and “activism” as …

Save Cite Cited by 707 Related articles All 38 versions 

Do hedge funds hedge?

CS Asness, RJ Krail, JM Liew - The journal of portfolio …, 2001 -

… Furthermore, when we account for a more accurate level of market exposure, we find that
the broad index of hedge funds and most hedge fund subcategories do not add value over this …

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On the performance of hedge funds

B Liang - Financial Analysts Journal, 1999 - Taylor & Francis

… vehicles, such as mutual funds. Unlike mutual funds, hedge funds follow dynamic trading
strategies and have low systematic risk. Hedge funds’ special fee structures apparently align …

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A primer on hedge funds

W Fung, DA Hsieh - Journal of empirical finance, 1999 - Elsevier

… rationale for how hedge funds are organized and some insight on how hedge fund performance
differs from traditional mutual funds. Statistical differences among hedge fund styles are …

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Hedge funds: Past, present, and future

RM Stulz - Journal of Economic Perspectives, 2007 -

… , most mutual funds and all hedge funds are active funds. Investors in such funds hope
that the manager has skills that will deliver a return substantially better than passive funds. …

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Hedge funds: Risk and return

BG Malkiel, A Saha - Financial analysts journal, 2005 - Taylor & Francis

… of hedge … of hedge funds but also the distinctly nonnormal characteristics of their returns.
We also investigate the substantial attrition of hedge funds, analyze the determinants of hedge …

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Hedge funds with style

SJ BrownWN Goetzmann - The Journal of Portfolio …, 2003 -

… hedge funds suggests they may be attractive as a portfolio asset. Yet, as we show, hedge
funds … The hedge fund universe encompasses a range of different strategies and approaches …

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Do the best hedge funds hedge?

S TitmanC Tiu - The Review of Financial Studies, 2011 -

… hedge funds choose to have less exposure to factor risk. Consistent with this argument, we
find that hedge funds that … The size of the hedge fund industry doubled almost every two years …

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Risk management for hedge funds: Introduction and overview

AW Lo - Financial Analysts Journal, 2001 - Taylor & Francis

… hedge-fund managers and institutional investors by providing an overview of several key
aspects of risk management for hedge funds… in the context of hedge funds and discuss some of …

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[BOOK] Handbook of hedge funds

FS Lhabitant - 2007 -

… How much should we allocate to hedge funds? 24.5 Hedge funds as portable alpha
overlays 24.6 Hedge funds as sources of alternative risk exposure 24.7 Risk budgeting and the …

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Hedge funds and the technology bubble

M K. BRUNNERMEIERS Nagel - The journal of Finance, 2004 - Wiley Online Library

… This paper documents that hedge funds did not exert a correcting force on stock prices …
This does not seem to be the result of unawareness of the bubble: Hedge funds captured the …

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Hedge funds and Chapter 11

W JiangK LiW Wang - The Journal of Finance, 2012 - Wiley Online Library

… of hedge funds in the Chapter 11 process and their effects on bankruptcy outcomes. Hedge
funds … This paper examines the roles of hedge funds in Chapter 11 and the effects of their …

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Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases

W Fung, DA Hsieh - Journal of Financial and Quantitative analysis, 2000 -

… biases in hedge funds. We also propose using funds-of-hedge funds to measure aggregate
hedge fund performance, based on the idea that the investment experience of hedge fund …

Save Cite Cited by 982 Related articles All 10 versions


Hedge funds: The living and the dead

B Liang - Journal of Financial and Quantitative analysis, 2000 -

… By evaluating data reliability for hedge funds, I test whether differences exist in current …
amount of dissolved hedge funds, I document that the survivorship bias for hedge funds is over 2…

Save Cite Cited by 755 Related articles All 19 versions 


[BOOK] Hedge funds

V Agarwal, NY Naik - 2005 -

… 3 Although Jones’ original fund used “long-short” strategy to hedge, today not all the hedge
funds necessarily hedge. In fact, there is no universally accepted definition of hedge funds. …

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[BOOK] Hedge funds: quantitative insights

FS Lhabitant - 2009 -

… birth to funds of hedge funds (referred to below as funds of funds) that … funds manager
may allocate his capital to several managers within a single strategy (style-specific fund of funds…

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The geography of hedge funds

M Teo - The Review of Financial Studies, 2009 -

… funds portfolio comprising local hedge funds delivers a post-fee alpha of 7.11% per year. This
study focuses on hedge funds … The advantage of Asian hedge fund data is that I can derive …

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The economics and finance of hedge funds: A review of the academic literature

V AgarwalKA Mullally, NY Naik - Foundations and Trends® …, 2015 -

… papers on hedge funds prior to 2005, they have published 105 papers on hedge funds since
… Under one roof: a study of simultaneously managed hedge funds and funds of hedge funds. …

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The economics of hedge funds

Y Lan, N WangJ Yang - Journal of Financial Economics, 2013 - Elsevier

… that differentiates hedge funds from mutual funds, is … , one of the most successful hedge
funds, charges 5% of the … Indeed, an important feature of the hedge fund industry is the …

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Empirical characteristics of dynamic trading strategies: The case of hedge funds

W Fung, DA Hsieh - The review of financial studies, 1997 -

… to 3,327 US mutual funds from Morningstar and 409 hedge funds/CTA pools from a … hedge
funds and CTA pools are treated as a single group of funds, referred to simply as “hedge funds…

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Hedge funds: Performance, risk, and capital formation

W Fung, DA Hsieh, NY Naik… - The Journal of …, 2008 - Wiley Online Library

… funds to deliver alpha in the future? In this paper, we employ data on a large cross-section
of hedge funds to shed light on these questions. Before using data on hedge funds, one must …

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Hedge funds and financial market dynamics

MB Chadha, MLE Kodres, MDJ Mathieson, MS Sharma… - 1998 -

… Hedge funds are collective investment vehicles, often organized as private partnerships and
… This paper considers the role of hedge funds in financial market dynamics, with particular …

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Offshore hedge funds: Survival and performance 1989-1995

SJ BrownWN GoetzmannRG Ibbotson - 1997 -

… Unlike mutual funds, if hedge funds are merged into other funds we know neither the date
nor the terms of the mergers. This limitation of the data imparts a “look-ahead” bias of unknown …

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The performance of emerging hedge funds and managers

RK AggarwalP Jorion - Journal of financial economics, 2010 - Elsevier

… funds, defined as newly established managers and funds. In this paper, we examine both
emerging hedge fund managers and emerging hedge funds, … We focus on emerging funds and …

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The performance of hedge funds: Risk, return, and incentives

C Ackermann, R McEnally… - The journal of …, 1999 - Wiley Online Library

… of hedge fund data from 1988–1995, we find that hedge funds consistently outperform mutual
funds, but … Fourth, we show that hedge funds are significantly riskier than their mutual fund …

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Hedge funds and governance targets

WW Bratton - Geo. LJ, 2006 - HeinOnline

… Until recently, we could distinguish hedge funds from private equity … funds of the 1980s,
takes companies private, investing long-term in their equity from a control position. Hedge funds, …

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Risks and portfolio decisions involving hedge funds

V Agarwal, NY Naik - The Review of Financial Studies, 2004 -

… hedge funds using buy-and-hold and option-based strategies. Our results show that a large
number of equity-oriented hedge … the systematic risk exposures of hedge funds, we show that …

Save Cite Cited by 1546 Related articles All 16 versions

[BOOK] Investment strategies of hedge funds

F Stefanini - 2010 -

… seen, hedge funds are considered … hedge funds, explaining hedge fund strategies while
offering both qualitative and quantitative tools that investors need to access these types of funds. …

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Does the choice of performance measure influence the evaluation of hedge funds?

M Eling, F Schuhmacher - Journal of Banking & Finance, 2007 - Elsevier

… hedge funds, we compare the Sharpe ratio with 12 other performance measures. Despite
significant deviations of hedge … results in virtually identical rank ordering across hedge funds. …

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Hedge funds in corporate governance and corporate control

M KahanEB Rock - Corporate Governance, 2017 -

… hedge funds are so much more active than other institutional investors. We show that hedge
funds … institutions, such as mutual funds and pension funds, which have never lived up to the …

Save Cite Cited by 852 Related articles All 15 versions 


Do hedge funds manage their reported returns?

V AgarwalND Daniel, NY Naik - The Review of Financial …, 2011 -

… Hedge funds are compensated by incentive fees, which are … database of hedge funds, we
show that hedge funds manage their … This “returns management” phenomenon in hedge funds …

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Identify the most consistent hedge funds on a risk adjusted basis.

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