scholarly journals Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

2013 ◽  
Author(s):  
Clemens Sialm ◽  
Zheng Sun ◽  
Lu Zheng
Keyword(s):  
Hedge Funds ◽  
Home Bias ◽  
Funds Of Hedge Funds

scholarly journals Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

2019 ◽  
Vol 33 (10) ◽  
pp. 4771-4810 ◽  
Author(s):  
Clemens Sialm ◽  
Zheng Sun ◽  
Lu Zheng
Keyword(s):  
Market Segmentation ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Home Bias ◽  
Fund Performance ◽  
Superior Performance ◽  
Local Bias ◽  
Funds Of Hedge Funds ◽  
Hedge Fund Performance ◽  
Funds Of Funds

Abstract Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.

Rank Alpha Funds of Hedge Funds

CFA Digest ◽  
2006 ◽  
Vol 36 (2) ◽  
pp. 13-15
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Funds ◽  
Funds Of Hedge Funds

scholarly journals Assessing the Performance of Funds of Hedge Funds

2011 ◽  
Author(s):  
Benoit Dewaele ◽  
Hugues Pirotte ◽  
Nils Tuchschmid ◽  
Erik Wallerstein
Keyword(s):  
Hedge Funds ◽  
Funds Of Hedge Funds

Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

2018 ◽  
Vol 54 (6) ◽  
pp. 2355-2381 ◽  
Author(s):  
Vikas Agarwal ◽  
George O. Aragon ◽  
Zhen Shi
Keyword(s):  
Hedge Funds ◽  
Financial Fragility ◽  
Funds Of Hedge Funds

We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs’ incentives to attract more capital and earn higher compensation. Greater liquidity transformation is associated with higher exposure to investor runs and worse performance during crisis periods. Finally, FoFs mitigate the risks associated with liquidity transformation by maintaining higher cash buffers.

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