The Hedge Fund Center Article Archives

Opening Statement of James A. Leach, Chairman, House Banking and Financial Services Committee
April 11, 2000 - Read the Press Release Here

What the New Century Brings to Investors: The Impact of the Internet
A Talk By Brian McQuade,, at the Opal Financial Conference during the week of 11/16/98

Remarks by Treasury Assistant Secretary Lee Sachs
April 11, 2000 -- Read the Transcript

March 26, The FSF discloses its findings in Singapore

Witness List for Capital Markets Subcommittee Hearing on
Assistant Secretary Lee Sachs

L'Affaire Mobley
Another Exclusive by Dr. Angelo Calvello

Hedge Fund Disclosure Bill Passes Subcommittee in Congress
Richard H. Baker, Chairman

Investors: Know Thy Salesperson
by Angelo Calvello, Ph. D.

A Simple Model for Estimating Risk and Returns from Alternate Investment Strategies
by Tushar S. Chande, Ph.D., Tuscarora Capital Management, L.L.C.

Hedge Funds and Performance
by Bin Bulsara

Hedge Fund Strategies for the Mainstream?
By Angelo Calvello

 Academic Work Archive

Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
STEPHEN J. BROWN, New York University
JAMES M. PARK, PARADIGM Capital Management
November 15, 1997


We investigate whether hedge fund and commodity trading advisor [CTA] return variance is conditional upon performance in the first half of the year. Our results are consistent with the Brown, Harlow and Starks (1994) findings for mutual fund managers. We find that good performers in the first half of the year reduce the volatility of their portfolios, but not vice-versa. The result that manager "variance strategies" depend upon relative ranking not distance from the high water mark threshold is unexpected, because CTA manager compensation is based on this absolute benchmark, rather than relative to other funds or indices. We conjecture that the threat of disappearance is a significant one for hedge fund managers and CTAs. An analysis of performance preceding departure from the database shows an association between disappearance and underperformance. An analysis of the annual hazard rates shows that performers in the lowest decile face a serious threat of closure. We find evidence to support the fact that survivorship and backfilling are both serious concerns in the use of hedge fund and CTA data.

On Taking the 'Alternative' Route: Risks, Rewards, Style and Performance Persistence of Hedge Funds
VIKAS AGARWAL, London Business School
NARAYAN Y. NAIK, London Business School
February, 1999


Using a new database of hedge funds, this paper provides a comprehensive analysis of the risk-return characteristics, risk exposures, style analysis and performance persistence of various hedge fund strategies. We conduct a mean-variance analysis to find that a combination of alternative investments and passive indexing provides significantly better risk-return tradeoff than passively investing in the different asset classes. Using a broad asset class factor model, we find that the hedge fund strategies outperform the benchmark by a range of 6% to 15% per year. We infer the significant risk exposures of different hedge fund strategies using generalized style analysis and find results consistent with their investment objectives. Finally, using parametric and non-parametric methods, we examine persistence in the performance of hedge fund managers. We find a reasonable degree of persistence which seems to be attributable more to the losers continuing to be losers instead of winners continuing to be winners.