|
|
|
|
||||
|
||||
Do the Best Hedge Funds Hedge?Sheridan TitmanUniversity of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER) Cristian Ioan TiuSUNY at Buffalo; University of Texas at Austin - Department of Finance December 17, 2008 AFA 2009 San Francisco Meetings Paper Abstract: We provide a simple argument that suggests that better informed hedge funds choose to have less exposure to factor risk. Consistent with this argument we find that hedge funds that exhibit lower R-squares with respect to systematic factors have higher Sharpe ratios, higher information ratios, charge higher fees and attract more future inflows.
Number of Pages in PDF File: 46 Keywords: Hedge funds, Systematic risk, Investment performance JEL Classification: G11, G23 working papers seriesDate posted: March 20, 2008 ; Last revised: December 19, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 0.516 seconds
