tailieunhanh - Higher risk, lower returns: What hedge fund investors really earn

Several studies conducted by of NGOs also focused on the role of these “new land owners”. 2 Also, well-attended international conferences named Global AgInvesting or World Agriculture In- vestment organised by financial actors have been held around the globe to further promote the involvement of the financial sector in the land and agribusiness. This study aims to add another part to the puzzle by focussing on the role of the German private sector. This is especially in- teresting because until now there have been only few relatively small activities documented where German companies are directly involved in land grabbing. The German private sector was. | Journal of Financial Economics 100 2011 248-263 Contents lists available at ScienceDirect Journal of Financial Economics journal homepage locate jfec Higher risk lower returns What hedge fund investors really earn Ilia D. Dichev a n Gwen Yu b a Goizueta Business School Emory University 1300 Clifton Road Atlanta GA 30322 United States b Harvard Business School Harvard University Boston MA 02163 United States ARTICLE INFO ABSTRACT Article history Received 20 July 2009 Received in revised form 24 May 2010 Accepted 4 August 2010 Available online 25 January 2011 JEL classification G11 G12 G23 Keywords Hedge fund Dollar-weighting Investor capital flows Fund alpha The returns of hedge fund investors depend not only on the returns of the funds they hold but also on the timing and magnitude of their capital flows in and out of these funds. We use dollar-weighted returns a form of Internal Rate of Return IRR to assess the properties of actual investor returns on hedge funds and compare them to buy-and-hold fund returns. Our main finding is that annualized dollar-weighted returns are on the magnitude of 3 to 7 lower than corresponding buy-and-hold fund returns. Using factor models of risk and the estimated dollar-weighted performance gap we find that the real alpha of hedge fund investors is close to zero. In absolute terms dollar-weighted returns are reliably lower than the return on the Standard Poor s S P 500 index and are only marginally higher than the risk-free rate as of the end of 2008. The combined impression from these results is that the return experience of hedge fund investors is much worse than previously thought. 2011 Elsevier . All rights reserved. 1. Introduction Hedge funds have enjoyed spectacular growth over the last two decades climbing from 38 billion of assets under management in 1990 to trillion at the peak in 2007. 1 There are a number of reasons for this success but the most important one is hedge funds apparent ability to .