The Good or the Bad? Which Mutual Fund Managers Join Hedge Funds?

Deuskar, Prachi; Pollet, Joshua Matthew; Wang, Z. Jay; Zheng, Lu

doi:10.1093/rfs/hhr057

Cited by 83 publications

(35 citation statements)

References 18 publications

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“…Em outra perspectiva, ao considerar que em muitos casos de investimentos os ativos ou estratégias podem ser similares, mas o conjunto de habilidades dos gestores pode ser diferente, pesquisadores (CICI; GIBSON;MOUSSAWI, 2010;NOHEL;WANG;ZHENG, 2010;DEUSKAR et al, 2011) têm considerado gestores de múltiplos fundos com foco em gestores que administram simultaneamente pelo menos um fundo mútuo e um fundo hedge, podendo essa gestão ser denominada de "side-by-side". Assim, Nohel, Wang e Zheng (2010), analisando os alfas de modelos de fatores, bem como os coeficientes agrupados de regressões em corte transversal, encontraram que os gestores de fundos mútuos "side-by-side" rotineiramente superam seus pares de fundos mútuos ao passo que os gestores de fundos hedge "side-by-side" não necessariamente apresentam um desempenho superior ao dos seus pares.…”

Section: Quantidade De Fundos Administrados Pelo Gestor E a Alocação unclassified

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Malaquias

Maestri

2017

RUC

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RESUMOA formação das carteiras de fundos de investimentos está sujeita às diferentes características de risco dos ativos que as compõem e a escolha desses ativos pode ser influenciada pelas particularidades do gestor. Nesse contexto, o objetivo desta pesquisa foi analisar se algumas variáveis referentes ao gestor interferem na alocação de recursos nas carteiras dos fundos multimercados. A amostra estudada compreendeu 6.659 fundos multimercados brasileiros com 327.270 observações mensais no período de Setembro/2009 a Janeiro/2016. Para fins de análise de robustez, foi utilizada também uma sub-amostra, com o objetivo de eliminar um potencial viés de incubação. Os testes de hipóteses ocorreram por técnicas econométricas com dados em painel. Os resultados evidenciaram que a composição das carteiras sofre influência de características dos gestores, como experiência, quantidade de fundos administrados, localização do gestor e gestores que apresentam melhor performance que seus pares.

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Section: Quantidade De Fundos Administrados Pelo Gestor E a Alocação unclassified

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Malaquias

Maestri

2017

RUC

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“…Information on hedge fund managers' prior employment is examined in Deuskar, Pollet, Wang, and Zheng (2011) for a subset of managers who switch from the mutual fund industry. These managers are found to exhibit persistent underperformance, and their hiring is concentrated in periods of expansion of the hedge fund industry.…”

Section: Related Literaturementioning

confidence: 99%

“…Social ties could impact hedge fund returns through abnormal performance (alpha), systematic risk exposures (beta), and idiosyncratic risk (residuals). Following Kosowski, Naik, and Teo (2007), Deuskar, Pollet, Wang, and Zheng (2011), and others, we resort for the decomposition of hedge fund returns to the 7-factor model of Fung and Hsieh (2004). 16 For each hedge fund i in our sample we estimate the model…”

Section: Dependent Variablesmentioning

confidence: 99%

“…The first variable is motivated by Deuskar, Pollet, Wang, and Zheng (2011)'s evidence that mutual fund managers who switch to the hedge fund industry tend to underperform relative to their peers in both the former and new employment and hence appear less skilled. Importantly, they document that these career changes are more likely to occur when the hedge fund industry is growing rapidly, which is consistent with hedge funds lowering their hiring standards during periods of extensive growth.…”

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confidence: 99%

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Birds of a Feather Do Hedge Fund Managers Flock Together?

Gerritzen¹,

Jackwerth

Plazzi

2016

SSRN Journal

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Using a novel data set, we construct a network of hedge fund managers based on past employment. Employment in the same industry and employment in the same firm lead to more similar investment behavior in terms of systematic risk (beta), abnormal performance (alpha), and residual returns, explaining about a quarter of the differences. Employment at the same firm at the same time affects only residual returns. Results are robust to fund and manager level controls, as well as to endogeneity concerns. More connected funds perform better, and prior experience in pension funds and banks aids performance.JEL classification: G11, G20, G23

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“…Papers on the relation between manager turnover and fund performance include Chevalier and Ellison (1999), Hu, Hall, and Harvey (2000), Khorana (2001), Massa, Reuter, and Zitzewitz (2010), and Deuskar, Pollet, Wang, and Zheng (2010).…”

Section: Introductionmentioning

confidence: 99%

Spillover Effects in Mutual Fund Companies

Sialm¹,

Tham²

2011

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Our paper investigates spillover effects across different business segments of publicly traded mutual fund management companies. We find that the prior stock price performance of the management company has a significant impact on the money flows and the management turnover of the affiliated mutual funds. Mutual funds managed by poorly performing firms experience unexpectedly low flows of new money and exhibit a significantly higher attrition of fund managers even if the mutual funds themselves performed well. Our results remain strong for companies where mutual funds account for only a small fraction of the overall revenues and hold for both equity and bond mutual funds. These results indicate that the financial health of a diversified firm has a significant impact on the prospects of the various business segments.

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The Good or the Bad? Which Mutual Fund Managers Join Hedge Funds?

Cited by 83 publications

References 18 publications

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Effects of Manager Characteristics on Portfolio Composition of Multimarket Funds

Birds of a Feather Do Hedge Fund Managers Flock Together?

Spillover Effects in Mutual Fund Companies

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