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| Tekijä: | Naik, N.Y. Ramadorai, T. Stromqvist, M. |
| Otsikko: | Capacity constraints and hedge fund strategy returns |
| Lehti: | European Financial Management
2007 : MAR, VOL. 13:2, p. 239-256 |
| Asiasana: | capacity hedging |
| Kieli: | eng |
| Tiivistelmä: | Hedge funds have generated significant absolute returns (alpha) in the decade between 1995 and 2004. However, the level of alpha has declined substantially over this period. This paper investigates whether capacity constraints have been responsible for this decline at the level of hedge fund strategies. For four of eight hedge fund strategies, capital inflows have statistically preceded negative movements in alpha, consistent with hypothesis. |
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