Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Buy-Side Risk Management: Hedging Hedge
Fund Outflows

Steve Satchell and Bernd Scherer
The Journal of Alternative Investments Fall 2011, 14 (2) 18-23; DOI: https://doi.org/10.3905/jai.2011.14.2.018
Steve Satchell
is a professor of finance at Birkbeck College in London, UK.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ses11@cam.ac.uk
Bernd Scherer
is a professor of finance at École des Hautes Études Commerciales du Nord (EDHEC) Business School in Nice, France, and is a CIO at FTC Capital in Vienna.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: bernd.scherer@edhec.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

In an ideal world, hedging the risk of fund outflows would simply involve the purchase of state-dependent securities that pay a nominal amount if outflows occur and nothing in other states of the world. However, securities of this type are not contractable, given that fund outflows might be performance related or otherwise self-induced. Alternatively, the risk of fund outflows can be (imperfectly) hedged with out-of-the-money digital calls, which pay off one monetary unit if volatility (represented by the VIX) increases by more than a pre-specified amount. The rationale is that strongly increasing risk often leads to both deteriorating hedge fund performance as well as increased client risk aversion. Both factors are likely to trigger hedge fund redemptions, are outside the manager’s control, and represent an exogenous event.The article develops a model to derive the optimal hedging demand and applies it to aggregated hedge fund data.

TOPICS: Real assets/alternative investments/private equity, risk management, options

  • © 2011 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 14 (2)
The Journal of Alternative Investments
Vol. 14, Issue 2
Fall 2011
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Buy-Side Risk Management: Hedging Hedge Fund Outflows
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Buy-Side Risk Management: Hedging Hedge
Fund Outflows
Steve Satchell, Bernd Scherer
The Journal of Alternative Investments Sep 2011, 14 (2) 18-23; DOI: 10.3905/jai.2011.14.2.018

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Buy-Side Risk Management: Hedging Hedge
Fund Outflows
Steve Satchell, Bernd Scherer
The Journal of Alternative Investments Sep 2011, 14 (2) 18-23; DOI: 10.3905/jai.2011.14.2.018
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • A MODEL FOR CONTINGENT HEDGING
    • EMPIRICAL DATA
    • SUMMARY
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies