Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds

Published Online:https://doi.org/10.1287/mnsc.2014.2126

References

  • Agarwal V, Kale JR (2007) On the relative performance of multi-strategy and funds of hedge funds. J. Investment Management 5:3–41.Google Scholar
  • Agarwal V, Ray S (2012) Determinants and implications of fee changes in the hedge fund industry. Working paper, Georgia State University, Atlanta.Google Scholar
  • Agarwal V, Boyson N, Naik NY (2009) Hedge funds for retail investors? An examination of hedged mutual funds. J. Financial Quant. Anal. 44:273–305.CrossrefGoogle Scholar
  • Agarwal V, Fos V, Jiang W (2013) Inferring reporting-related biases in hedge fund databases from hedge fund equity holdings. Management Sci. 59:1271–1289.LinkGoogle Scholar
  • Agarwal V, Ma L, Mullally K (2015) Managerial multitasking in the mutual fund industry. Working paper, Georgia State University, Atlanta.Google Scholar
  • Agarwal V, Nanda V, Ray S (2012) Institutional investment and intermediation in the hedge fund industry. Working paper, Georgia State University, Atlanta.Google Scholar
  • Aiken AL, Clifford CP, Ellis J (2013) Out of the dark: Hedge fund reporting biases and commercial databases. Rev. Financial Stud. 26:208–243.CrossrefGoogle Scholar
  • Aiken AL, Clifford CP, Ellis J (2015) The value of funds of hedge funds: Evidence from their holdings. Management Sci. 61(10):2415–2429.LinkGoogle Scholar
  • Amin GS, Kat HM (2003) Hedge fund performance 1990–2000: Do the “money-machines” really add value? J. Financial Quant. Anal. 38:251–274.CrossrefGoogle Scholar
  • Ang A, Rhodes-Kropf M, Zhao R (2008) Do funds-of-funds deserve their fees-on-fees? J. Investment Management 6:34–58.Google Scholar
  • Bhattacharya U, Lee JH, Pool VK (2013) Conflicting family values in mutual fund families. J. Finance 68:173–200.CrossrefGoogle Scholar
  • Boyson N (2009) The impact of hedge fund family membership on performance and market share. J. Financial Transformation 25:123–129.Google Scholar
  • Brown SJ, Fraser T, Liang B (2008) Hedge fund due diligence: A source of alpha in a hedge fund portfolio strategy. J. Investment Management 6:23–33.Google Scholar
  • Brown SJ, Goetzmann WN, Liang B (2004) Fees on fees in funds of funds. J. Investment Management 2:39–56.Google Scholar
  • Brown SJ, Goetzman WN, Liang B, Schwarz C (2009) Estimating operational risk for hedge funds: The Ω-score. Financial Analysts J. 65:43–53.CrossrefGoogle Scholar
  • Brown SJ, Goetzman WN, Liang B, Schwarz C (2012) Trust and delegation. J. Financial Econom. 103:221–234.CrossrefGoogle Scholar
  • Chen L-W, Chen F (2009) Does concurrent management of mutual and hedge funds create conflicts of interest? J. Banking and Finance 33:1423–1433.CrossrefGoogle Scholar
  • Chen F, Chen L-W, Cyree K (2009) Should I stay or should I go? Mutual fund managers who stay (or leave) to run hedge funds. Working paper, University of Mississippi, University.Google Scholar
  • Cici G, Gibson S, Moussawi R (2010) Mutual fund performance when parent firms simultaneously manage hedge funds. J. Financial Intermediation 19:169–187.CrossrefGoogle Scholar
  • Deuskar P, Pollet J, Wang ZJ, Zheng L (2011) The good or the bad? Which mutual fund managers join hedge funds? Rev. Financial Stud. 24:3008–3024.CrossrefGoogle Scholar
  • Deuskar P, Wang ZJ, Wu Y, Nguyen QH (2012) The dynamics of hedge fund fees. Working paper, Indian School of Business, Hyderabad, India.Google Scholar
  • Edwards FR, Caglayan MO (2001) Hedge fund performance and manager skill. J. Futures Markets 21:1003–1028.CrossrefGoogle Scholar
  • Fung W, Hsieh DA (2000) Performance characteristics of hedge funds and CTA funds: Natural versus spurious biases. J. Financial Quant. Anal. 35:291–307.CrossrefGoogle Scholar
  • Fung W, Hsieh DA (2004) Hedge fund benchmarks: A risk-based approach. Financial Analyst J. 60:65–81.CrossrefGoogle Scholar
  • Fung W, Hsieh DA, Naik N, Teo M (2014) Growing the asset management franchise: Evidence from hedge fund firms. Working paper, Duke University, Durham, NC.Google Scholar
  • Gray WR, Crawford S, Kern AE (2012) Do fund managers identify and share profitable ideas? Working paper, Drexel University, Philadelphia, http://dx.doi.org/10.2139/ssrn.1499341.Google Scholar
  • Inderst R, Ottaviani M (2009) Misselling through agents. Amer. Econom. Rev. 99:883–908.CrossrefGoogle Scholar
  • Inderst R, Ottaviani M (2012) How (not) to pay for advice: A framework for consumer financial protection. J. Financial Econom. 105:393–411.CrossrefGoogle Scholar
  • Institutional Investor (2004) Inside Highbridge. (June 24), http://www.institutionalinvestor.com/Article/1029930/Inside-Highbridge.html?ArticleId=1029930.Google Scholar
  • Kolokolova O (2011) Strategic behavior within families of hedge funds. J. Banking and Finance 35:1645–1662.CrossrefGoogle Scholar
  • Linnainmaa J (2013) Reverse survivorship bias. J. Finance 68:789–813.CrossrefGoogle Scholar
  • Lynch AW, Musto DK (2003) How investors interpret past fund returns. J. Finance 58:2033–2058.CrossrefGoogle Scholar
  • Nanda V, Wang ZJ, Zheng L (2004) Family values and the star phenomenon: Strategies of mutual fund families. Rev. Financial Stud. 17:667–698.CrossrefGoogle Scholar
  • Nohel T, Wang ZJ, Zheng L (2010) Side-by-side management of hedge funds and mutual funds. Rev. Financial Stud. 23:2342–2373.CrossrefGoogle Scholar
  • Pastor L, Stambaugh R (2003) Liquidity risk and expected stock returns. J. Political Econom. 111:642–685.CrossrefGoogle Scholar
  • Patton A, Ramadorai T, Streatfield M (2015) Change you can believe in? Hedge fund data revisions. J. Finance 70:963–999.CrossrefGoogle Scholar
  • Ramadorai T, Streatfield M (2011) Money for nothing? Understanding variation in reported hedge fund fees. Working paper, Oxford University, Oxford, UK. http://dx.doi.org/10.2139/ssrn.1798628.Google Scholar
  • Raza S (2011) Exclusive: David Einhorn’s Greenlight masters semi-annual 2011. ValueWalk (November 29), http://www.valuewalk.com/2011/11/gm-semiannual-2011/.Google Scholar
  • Sandhya V (2012) Agency problems in target-date funds. Working paper, Georgia State University, Atlanta.Google Scholar
  • Sialm C, Sun Z, Zheng L (2014) Home bias and local contagion: Evidence from funds of hedge funds. Working paper, University of California, Irvine Irvine. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2023851.Google Scholar
  • Schwarz C (2007) Hedge fund fees. Working paper, University of California, Irvine, Irvine.Google Scholar
  • Stoughton NM, Wu Y, Zechner J (2011) Intermediated investment management. J. Finance 66:947–979.CrossrefGoogle Scholar
  • Teo M (2011) The liquidity risk of liquid hedge funds. J. Financial Econom. 100:24–44.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.