References (9)


Citations (106)



On the Performance of Hedge Funds

Bing Liang

University of Massachusetts Amherst - Department of Finance

May 1998

This paper investigates hedge fund performance and risk. The empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles such as mutual funds. The funds with watermarks significantly outperform the funds without watermarks. The average hedge fund returns are related positively to incentive fees, the size of the fund, and the lockup period. Hedge funds follow dynamic trading strategies and have low systematic risk. There are low correlations among different strategies. Compared with mutual funds, hedge funds offer better risk-return trade-offs: they have higher Sharpe ratios, lower market risks, and higher abnormal returns. In the period of January 1994 to December 1996, hedge funds provide positive abnormal returns. Overall, hedge fund strategies dominate mutual fund strategies, hence hedge funds provide a more efficient investment opportunity set for investors.

Number of Pages in PDF File: 41

JEL Classification: G23, G11

Open PDF in Browser Download This Paper

Date posted: June 17, 1998  

Suggested Citation

Liang, Bing, On the Performance of Hedge Funds (May 1998). Available at SSRN: http://ssrn.com/abstract=89490 or http://dx.doi.org/10.2139/ssrn.89490

Contact Information

Bing Liang (Contact Author)
University of Massachusetts Amherst - Department of Finance ( email )
Amherst, MA 01003
United States
Feedback to SSRN

Paper statistics
Abstract Views: 14,351
Downloads: 4,538
Download Rank: 1,004
References:  9
Citations:  106

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.375 seconds