Abstract

http://ssrn.com/abstract=967830
 
 

References (19)



 
 

Citations (35)



 


 



Capacity Constraints and Hedge Fund Strategy Returns


Narayan Y. Naik


London Business School - Institute of Finance and Accounting

Tarun Ramadorai


University of Oxford - Said Business School; University of Oxford - Oxford-Man Institute of Quantitative Finance; Centre for Economic Policy Research (CEPR)

Maria Strömqvist


Brummer & Partners


European Financial Management, Vol. 13, No. 2, pp. 239-256, March 2007

Abstract:     
Hedge funds have generated significant absolute returns (alpha) in the decade between 1995 and 2004. However, the level of alpha has declined substantially over this period. We investigate whether capacity constraints at the level of hedge fund strategies have been responsible for this decline. For four out of eight hedge fund strategies, capital inflows have statistically preceded negative movements in alpha, consistent with this hypothesis. We also find evidence that hedge fund fees have increased over the same period. Our results provide support for the Berk and Green (2004) rational model of active portfolio management.

Number of Pages in PDF File: 18

Accepted Paper Series


Date posted: March 4, 2007  

Suggested Citation

Naik, Narayan Y. and Ramadorai, Tarun and Strömqvist, Maria, Capacity Constraints and Hedge Fund Strategy Returns. European Financial Management, Vol. 13, No. 2, pp. 239-256, March 2007. Available at SSRN: http://ssrn.com/abstract=967830 or http://dx.doi.org/10.1111/j.1468-036X.2006.00353.x

Contact Information

Narayan Y. Naik (Contact Author)
London Business School - Institute of Finance and Accounting ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
+44 20 7262 5050 (Phone)
+44 20 724 3317 (Fax)
Tarun Ramadorai
University of Oxford - Said Business School ( email )
Park End Street
Oxford, OX1 1HP
Great Britain
+44 1865 278 816 (Phone)
+44 1865 288 805 (Fax)
HOME PAGE: http://www.tarunramadorai.com
University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Maria Strömqvist
Brummer & Partners ( email )
Stockholm
Sweden
Feedback to SSRN


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References:  19
Citations:  35

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