Post by Sapphire Capital on Jul 21, 2008 22:33:42 GMT 4
Do the Best Hedge Funds Hedge?
SHERIDAN TITMAN
University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)
CRISTIAN IOAN TIU
SUNY at Buffalo - School of Management
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April 25, 2008
Abstract:
We provide a simple argument that suggests that better informed hedge funds choose to have less exposure to factor risk. Consistent with this argument we find that hedge funds that exhibit lower R-squares with respect to systematic factors have higher Sharpe ratios, higher information ratios, charge higher fees and attract more future inflows.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1107627_code629430.pdf?abstractid=1107627&mirid=4
SHERIDAN TITMAN
University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)
CRISTIAN IOAN TIU
SUNY at Buffalo - School of Management
--------------------------------------------------------------------------------
April 25, 2008
Abstract:
We provide a simple argument that suggests that better informed hedge funds choose to have less exposure to factor risk. Consistent with this argument we find that hedge funds that exhibit lower R-squares with respect to systematic factors have higher Sharpe ratios, higher information ratios, charge higher fees and attract more future inflows.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1107627_code629430.pdf?abstractid=1107627&mirid=4