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Thomas L. Fraser's
Scholarly Papers
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2,133 |
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Citations
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1.
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Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy
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Stephen J. Brown
NYU Stern School of Business Thomas L. Fraser
Attorney in New York City Bing Liang
University of Massachusetts at Amherst - Department of Finance & Operations Management
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Posted:
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30 Sep 07
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Last Revised:
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11 Sep 09
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2,133
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7
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Stephen J. Brown
NYU Stern School of Business Thomas L. Fraser
Attorney in New York City Bing Liang
University of Massachusetts at Amherst - Department of Finance & Operations Management
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13 Nov 08
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Last Revised:
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11 Sep 09
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230
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Abstract:
Due diligence is an important source of alpha in a well designed hedge fund portfoliostrategy. It is generally understood that the high returns possible in investing in hedgefunds are somewhat offset by the relative lack of transparency on operational issues. Theperformance of a diversified hedge fund portfolio can be enhanced by excluding thosefunds likely to do poorly or fail due to operational risk concerns. However, effectivedue diligence is an expensive concern. This implies that there is a strong competitiveadvantage to those funds of funds sufficiently large to absorb this fixed and necessary cost. The consequent economies of scale that we document in funds of funds are quite substantial and support the proposition that due diligence is a source of alpha in hedge fund investment.
Hedge funds, operational risk, due diligence, alpha
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Stephen J. Brown
NYU Stern School of Business Thomas L. Fraser
Attorney in New York City Bing Liang
University of Massachusetts at Amherst - Department of Finance & Operations Management
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| Posted: |
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30 Sep 07
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Last Revised:
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11 Sep 09
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1,903
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7
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Abstract:
Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat offset by the relative lack of transparency on operational issues. The performance of a diversified hedge fund portfolio can be enhanced by excluding those funds likely to do poorly - or fail - due to operational risk concerns. However, effective due diligence is an expensive concern. This implies that there is a strong competitive advantage to those funds of funds sufficiently large to absorb this fixed and necessary cost. The consequent economies of scale that we document in funds of funds are quite substantial and support the proposition that due diligence is a source of alpha in hedge fund investment.
Hedge funds, operational risk, due diligence, alpha
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2.
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Stephen J. Brown
Bryan Cave LLP Thomas L. Fraser
Attorney in New York City Bing Liang
University of Massachusetts at Amherst - Department of Finance & Operations Management
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26 Nov 08
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Last Revised:
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11 Sep 09
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Abstract:
Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat offset by the relative lack of transparency on operational issues. The performance of a diversified hedge fund portfolio can be enhanced by excluding those funds likely to do poorly or fail due to operational risk concerns. However, effective due diligence is an expensive concern. This implies that there is a strong competitive advantage to those funds of funds sufficiently large to absorb this fixed and necessary cost. The consequent economies of scale that we document in funds of funds are quite substantial and support the proposition that due diligence is a source of alpha in hedge fund investment.
Hedge funds, operational risk, due diligence, alpha
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