TY - GEN
T1 - The effects of management and provision accounts on hedge fund returns - Part I
T2 - 7th International Conference of the Thailand Econometric Society, TES 2014
AU - Darolles, Serge
AU - Gourieroux, Christian
PY - 2014/1/1
Y1 - 2014/1/1
N2 - A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors and an account for the management firm, respectively. Despite a lack of transparency in hedge fund market, the strategy of performance allocation is publicly available. This paper shows that, for the High Water Mark Scheme, these complex performance allocation strategiesmight explain empirical facts observed in hedge fund returns, such as return persistence, skewed return distribution, bias ratio, or implied increasing risk appetite.
AB - A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors and an account for the management firm, respectively. Despite a lack of transparency in hedge fund market, the strategy of performance allocation is publicly available. This paper shows that, for the High Water Mark Scheme, these complex performance allocation strategiesmight explain empirical facts observed in hedge fund returns, such as return persistence, skewed return distribution, bias ratio, or implied increasing risk appetite.
U2 - 10.1007/978-3-319-03395-2_2
DO - 10.1007/978-3-319-03395-2_2
M3 - Conference contribution
AN - SCOPUS:84897870137
SN - 9783319033945
T3 - Advances in Intelligent Systems and Computing
SP - 23
EP - 43
BT - Modeling Dependence in Econometrics
PB - Springer Verlag
Y2 - 8 January 2014 through 10 January 2014
ER -