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Journal

Nauki o Finansach

2021 | 26 | 2 | 102-125

Article title

Liquidity Risk and Hedge Fund Performance Evaluation

Authors

Richard Van Horne

Content

Full texts:
articles-2079923.pdf.pdf

Title variants

PL
Ryzyko płynności i ocena wyników inwestycyjnych funduszy hedgingowych

Languages of publication

Abstracts

PL
W artykule wykorzystano dwa modele – opóźnionych efektów i autokorelacji – do identyfikacji potencjalnego ryzyka płynności w portfelach funduszy hedgingowych. Na podstawie modelu autokorelacji opracowano czynnik ryzyka płynności, który dodano do wieloczynnikowego modelu równowagi w celu ponownego oszacowania współczynnika alfa jako miary wyników inwestycyjnych dużego spektrum funduszy hedgingowych. Otrzymane wyniki wskazują, że duża część wypracowanej alfy z modelu wieloczynnikowego pozbawionego czynnika ryzyka płynności jest w rzeczywistości rekompensatą za to ryzyko. Wynik ten jest istotny zarówno dla przedinwestycyjnego badania due diligence dotyczącego wyboru menedżerów funduszy hedgingowych, jak i poinwestycyjnej oceny wyników tych funduszy oraz zarządzania ryzykiem.
EN
In this article the author uses two models, a lagged-effects model and a serial correlation model, which identify potential liquidity risk in hedge fund portfolios. From the serial correlation model a liquidity risk factor was developed and added to a multi-factor equilibrium model in order to re-estimate Alpha across a universe of hedge funds. It was found that much of what passes for fund Alpha in a multi-factor risk model lacking a liquidity risk factor is actually a compensation for bearing liquidity risk in the context of a model that includes the innovative liquidity risk factor. This result has implications for both a pre-investment due diligence and a manager selection as well as the postinvestment fund performance evaluation and risk management.

Keywords

EN
PL

Publisher

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Journal

Nauki o Finansach

Year

2021

Volume

26

Issue

2

Pages

102-125

Physical description

Dates

published
2021

Contributors

author
Richard Van Horne
  • Poznan University of Economics and Business, Poznan, Poland

References

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Document Type

Publication order reference

Identifiers

DOI
10.15611/fins.2021.2.06
Biblioteka Nauki
2079923

YADDA identifier

bwmeta1.element.ojs-doi-10_15611_fins_2021_2_06
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