49 Pages Posted: 31 Mar 2011 Last revised: 17 Oct 2012
Date Written: March 28, 2011
We analyze the determinants of hedge fund management and incentive fees in a large consolidated hedge fund dataset. We detect time-series variation in fees by concentrating our attention on fund launches, and conditioning fees at launch on fund family characteristics. Larger and better performing fund families launch high fee funds. Funds with high management fees at launch do not perform any differently from low management fee funds, though funds with high incentive fees marginally outperform. Our results are robust to the use of an interval regression technique to uncover the underlying continuous distribution of fees from the discrete reported fees.
Keywords: hedge funds, fees, performance, management company, fund family
JEL Classification: D40, G20, G23
Suggested Citation: Suggested Citation
Ramadorai, Tarun and Streatfield, Michael, Money for Nothing? Understanding Variation in Reported Hedge Fund Fees (March 28, 2011). Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper. Available at SSRN: https://ssrn.com/abstract=1798628 or http://dx.doi.org/10.2139/ssrn.1798628
By Bing Liang