Careers and Survival : Competition and Risk in The Hedge Fund and CTA Industry  

Oleh:

Brown, Stephen J. ; Goetzmann, William N. ; Park, James

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1869-1886.
Topik: careers; hedge funds; competition; risk management; volatility; studies; rates of return
Fulltext: p 1869.pdf (226.61KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Investors in hedge funds and commodity trading advisors (CTAs) are concerned with risk as well as return. We investigate the volatility of hedge funds and CTAs in light of managerial career concens. We find an association between past performance and risk levels consistent with previous findings for mutual fund managers. Variance shifts depende upon relative rather than absolute fund performance. The importance of relative rankings points to the improtance of reputation costs in the investment industry. Our analysis of factors contributing to funds disapperance shows that survival depends on absolute and relative performance, excess volatility, and on fund age.

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