Abstract

http://ssrn.com/abstract=1103215
 
 

References (33)



 
 

Citations (20)



 


 



The Performance of Emerging Hedge Fund Managers


Rajesh K. Aggarwal


University of Minnesota - Twin Cities - Carlson School of Management

Philippe Jorion


University of California, Irvine - Paul Merage School of Business

January 23, 2008

AFA 2009 San Francisco Meetings Paper

Abstract:     
This paper provides the first systematic analysis of performance patterns for emerging hedge funds and managers in the hedge fund industry. Emerging managers have particularly strong financial incentives to create investment performance and, because of their size, may be more nimble than established ones. Performance measurement, however, needs to control for the usual biases afflicting hedge fund databases. Backfill bias, in particular, is severe for this type of study. After adjusting for such biases and using a novel event time approach, we find strong evidence of outperformance during the first two to three years of existence. Controlling for size, each additional year of age decreases performance by 48 basis points, on average. Cross-sectionally, early performance by individual managers is quite persistent, with early strong performance lasting for up to five years.

Number of Pages in PDF File: 45

Keywords: hedge funds, emerging managers, incentives, performance evaluation

JEL Classification: G11, G12, G14, G23, G32

working papers series


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Date posted: March 9, 2008 ; Last revised: December 21, 2008

Suggested Citation

Aggarwal, Rajesh K. and Jorion, Philippe, The Performance of Emerging Hedge Fund Managers (January 23, 2008). AFA 2009 San Francisco Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1103215 or http://dx.doi.org/10.2139/ssrn.1103215

Contact Information

Rajesh K. Aggarwal (Contact Author)
University of Minnesota - Twin Cities - Carlson School of Management ( email )
19th Avenue South
Minneapolis, MN 55455
United States
Philippe Jorion
University of California, Irvine - Paul Merage School of Business ( email )
Campus Drive
Irvine, CA 92697-3125
United States
949-824-5245 (Phone)
949-824-8469 (Fax)
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