Diversification in the hedge fund industry

Shawky, Hany A.; Dai, Na; Cumming, Douglas J.

doi:10.1016/j.jcorpfin.2011.11.006

Cited by 24 publications

(14 citation statements)

References 36 publications

(30 reference statements)

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“…ey found that funds that diversi ed into sectors and asset classes presented a positive relationship with performance. In contrast, diversi cation through investment style and geographical location presented a negative relationship with performance (Shawky et al, 2012).…”

Section: Introductionmentioning

confidence: 82%

Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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ABSTRACTis paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. e aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can a ect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain di erences in the fund performance, which increases the relevance of this study. erefore, the impact of this research lies in its revealing a signi cant relationship between riskadjusted return and the portion of portfolios allocated to xed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and xed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the e ectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in xed income, managers with more funds under management, and larger funds.

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Section: Introductionmentioning

confidence: 82%

Aspects of manager, portfolio allocation, and fund performance in Brazil

Maestri

Malaquias

2018

Rev. contab. finanç.

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“…Por outro lado, Shawky et al (2012) constataram que, tanto para os hedge funds quanto para os fundos de fundos, a diversificação em suas carteiras apresentou efeitos positivos em sua performance.…”

Section: H2unclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

Rev. adm. contemp.

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O objetivo geral deste trabalho consistiu em analisar a relação entre os dias de segunda-feira com a rentabilidade proporcionada pelos fundos de investimentos multimercados brasileiros. A base final de análise foi composta por 3.337 fundos multimercados, totalizando 3.529.808 observações para dados diários, no período de janeiro/2005 a setembro/2013. Com a utilização da análise de regressão com dados em painel, levando-se em consideração variáveis de controle apontadas pela literatura como relevantes, os principais resultados indicaram que o efeito segunda-feira também ocorre no segmento de fundos de investimento, sendo intensificado por períodos de crises financeiras. Contudo constatou-se que esse efeito não foi uniforme entre todas as subcategorias de fundos multimercados. Os resultados foram persistentes entre fundos cujo prazo de resgate é D+0, bem como foram robustos ao controle pela série de retornos do Ibovespa. A discussão foi ancorada principalmente na Teoria de Finanças Comportamentais, buscando-se assim potenciais explicações para essa anomalia de mercado.

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“…However, diversification also can proxy for general knowledge in financial markets and relate positively to future risk-adjusted returns. Shawky, Dai, and Cumming (2012), for instance, find that diversification across asset classes is positively related to the alphas of hedge funds, whereas investing across different investment styles and regions is negatively related to performance. In the following, we investigate whether the positive relation between asset class diversification and performance also occurs in the short portfolios of hedge funds.…”

Section: Diversification In Asset Classes: It Is Not Clear How the DImentioning

confidence: 99%

Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

Jank

Smajlbegovic

2015

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractShort sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions for a wide cross section of stocks and investors. We find that hedge funds, the predominant investor group, generate an annualized Fama and French (1993) risk-adjusted return of about 5.5%, outperforming other investors. Evidence indicates that hedge funds act as arbitrageurs, generating their returns by trading on the mispricing-related factors, e.g. momentum, betting-against-beta, and quality-minus-junk. In the cross section of hedge funds, local, diversified, and active funds outperform their counterparts. On the position level, we document a first-mover advantage. The profitability of short sales also varies significantly with investors' holding period, location, and industry experience.

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Diversification in the hedge fund industry

Cited by 24 publications

References 36 publications

Aspects of manager, portfolio allocation, and fund performance in Brazil

Aspects of manager, portfolio allocation, and fund performance in Brazil

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Dissecting Short-Sale Performance: Evidence from Large Position Disclosures

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