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The Journal of Alternative Investments

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Qualitative Hedge Fund Characteristics and Fund Performance: Changes Over Time

Rajesh K. Aggarwal, Jane Buchan and Pierre Saint-Laurent
The Journal of Alternative Investments Fall 2012, 15 (2) 8-23; DOI: https://doi.org/10.3905/jai.2012.15.2.008
Rajesh K. Aggarwal
is the U.S. Bancorp Professor in Financial Markets and Institutions at the University of Minnesota in Minneapolis, MN.
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  • For correspondence: rajesh@umn.edu
Jane Buchan
is chief excutive officer of Pacific Alternative Asset Management Company in Irvine, CA.
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  • For correspondence: jbuchan@paamco.com
Pierre Saint-Laurent
is a full-time lecturer at HEC Montréal in Montréal, QB, Canada.
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  • For correspondence: pierre.saint-laurent@hec.ca
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Abstract

In this article, the authors examine three hedge fund governance characteristics—restrictions on investor liquidity, the presence of a high-water mark, and the level of fees charged to investors—that previously have been shown to be associated with superior hedge fund performance. Investor liquidity and high-water mark provisions, which were found to predict performance in earlier time periods, no longer do so. High fund fees are associated with better fund performance—but only because better managers are able to charge higher fees, not because higher fees make managers perform better. The authors conclude that simple, readily observable characteristics do not reveal superior performance.

TOPICS: Real assets/alternative investments/private equity, performance measurement, manager selection

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The Journal of Alternative Investments: 15 (2)
The Journal of Alternative Investments
Vol. 15, Issue 2
Fall 2012
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Qualitative Hedge Fund Characteristics and Fund Performance: Changes Over Time
Rajesh K. Aggarwal, Jane Buchan, Pierre Saint-Laurent
The Journal of Alternative Investments Sep 2012, 15 (2) 8-23; DOI: 10.3905/jai.2012.15.2.008

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Qualitative Hedge Fund Characteristics and Fund Performance: Changes Over Time
Rajesh K. Aggarwal, Jane Buchan, Pierre Saint-Laurent
The Journal of Alternative Investments Sep 2012, 15 (2) 8-23; DOI: 10.3905/jai.2012.15.2.008
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  • Article
    • Abstract
    • TRADITIONAL HEDGE FUND CHARACTERISTICS AND HEDGE FUND PERFORMANCE
    • DATA
    • INVESTOR LIQUIDITY
    • HIGH-WATER MARKS
    • FUND FEES
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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