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Author(s): Andrew Clare, Nick Motson, Cass Business School
In this paper, using a large database of hedge fund returns, we examine the risk taking behaviour of hedge fund managers in response to both their past returns relative to their high-water mark and their past returns relative to their peer group.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 133
This report provides the guidelines necessary for standardising the measurement of risk so that it can be applied to make meaningful comparisons between one fund and another.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 966
Author(s): Andrew Clare, Nick Motson, Cass Business School, Chris Brooks, ICMA Centre, University of Reading
In this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 114
Author(s): Andrew Clare, Nick Motson, Cass Business School, City University London
In this paper we investigate the influence of two factors on the risk taking behaviour of hedge fund managers. The first factor is the past performance of the fund relative to the performance of each fund's peer. The second is the option-like features of the typical hedge fund manager's compensation structure.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 70
Author(s): Chris Brooks, University of Reading, Andrew Clare, Nick Motson, Cass Business School
this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 80
