Abstract

http://ssrn.com/abstract=1107627
 
 

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Do the Best Hedge Funds Hedge?


Sheridan Titman


University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

Cristian Ioan Tiu


SUNY 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 series





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Date posted: March 20, 2008 ; Last revised: December 19, 2008

Suggested Citation

Titman, Sheridan and Tiu, Cristian Ioan, Do the Best Hedge Funds Hedge? (December 17, 2008). AFA 2009 San Francisco Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1107627 or http://dx.doi.org/10.2139/ssrn.1107627

Contact Information

Sheridan Titman (Contact Author)
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Cristian Ioan Tiu
SUNY at Buffalo
Buffalo, NY 14222
United States
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-225-1636 (Phone)
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