Form PF and the Systemic Risk of Hedge Funds: <i>Risk-Measurement Precision for Option Portfolios</i>

Flood, Mark D.; Monin, Phillip

doi:10.3905/jai.2016.18.4.125

Cited by 12 publications

(7 citation statements)

References 34 publications

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“…The Office of Financial Research has access to the data through an agreement with the SEC. For additional description of the Form PF hedge fund data see Flood, Monin, and Bandyopadhyay (2015) and Flood and Monin (2016).…”

Section: Data and Summary Statisticsmentioning

confidence: 99%

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Kruttli

Monin

Watugala

2017

FEDS

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We show that when only a few investors own a substantial portion of a hedge fund's net asset value, flow volatility increases because investors' exogenous, idiosyncratic liquidity shocks are not diversified away. Using confidential regulatory filings, we confirm that high investor concentration hedge funds experience more volatile flows. These hedge funds hold more cash and liquid assets, which help absorb large, unexpected outflows. Such funds have to pay a liquidity premium and generate lower risk-adjusted returns. Investor concentration does not affect flow-performance sensitivity. These results are robust to including lock-up and redemption periods, strategy, manager ownership, and other controls.JEL classification: G11, G20, G23.

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Section: Data and Summary Statisticsmentioning

confidence: 99%

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds

Kruttli

Monin

Watugala

2017

FEDS

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“…Thus, some qualifying hedge funds in our sample have NAV less than the associated threshold of $500 million. SeeFlood, Monin, and Bandyopadhyay (2015) andFlood and Monin (2016) for more information on the structure and history of Form PF.14 Form PF data are confidential. The Office of Financial Research has access to the data through an agreement with the SEC.…”

mentioning

confidence: 99%

Illiquidity in Intermediate Portfolios: Evidence from Large Hedge Funds

Barth¹,

Monin²

2020

SSRN Journal

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“…Thus, some qualifying hedge funds in our sample have a NAV less than the associated threshold of $500 million. See Flood, Monin, and Bandyopadhyay (2015) and Flood and Monin (2016) for more information on the structure and history of Form PF. The additional information filed by Qualified Hedge Funds is reported in Section 2b of Form PF.…”

Section: Matching Proceduresmentioning

confidence: 99%