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How Risky are Low-Risk Hedge Funds?

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

How Risky are Low-Risk Hedge Funds? / Kolokolova, Olga; Mattes, Achim.
In: Bankers, Markets & Investors, No. 140, 2016, p. 6-18.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Kolokolova, O & Mattes, A 2016, 'How Risky are Low-Risk Hedge Funds?', Bankers, Markets & Investors, no. 140, pp. 6-18. https://doi.org/10.2139/ssrn.2520514

APA

Kolokolova, O., & Mattes, A. (2016). How Risky are Low-Risk Hedge Funds? Bankers, Markets & Investors, (140), 6-18. https://doi.org/10.2139/ssrn.2520514

Vancouver

Kolokolova O, Mattes A. How Risky are Low-Risk Hedge Funds? Bankers, Markets & Investors. 2016;(140):6-18. doi: 10.2139/ssrn.2520514

Author

Kolokolova, Olga ; Mattes, Achim. / How Risky are Low-Risk Hedge Funds?. In: Bankers, Markets & Investors. 2016 ; No. 140. pp. 6-18.

Bibtex

@article{76a68669090a4cbdae112b25264ce3e8,
title = "How Risky are Low-Risk Hedge Funds?",
abstract = "This paper investigates the determinants of the average level of risk of hedge funds, which provide high liquidity to their investors and report their returns on a daily basis. We find that larger funds and funds charging higher incentive fees exhibit lower risk, whereas funds charging higher management fees, imposing longer notice periods, and stemming from large fund-families take more risk. There is considerable variation in the risk levels between funds reporting in Euro and USD, with Euro funds being consistently less risky, suggesting that these funds target different types of investors with other preferences.",
author = "Olga Kolokolova and Achim Mattes",
year = "2016",
doi = "10.2139/ssrn.2520514",
language = "English",
pages = "6--18",
journal = "Bankers, Markets & Investors",
number = "140",

}

RIS

TY - JOUR

T1 - How Risky are Low-Risk Hedge Funds?

AU - Kolokolova, Olga

AU - Mattes, Achim

PY - 2016

Y1 - 2016

N2 - This paper investigates the determinants of the average level of risk of hedge funds, which provide high liquidity to their investors and report their returns on a daily basis. We find that larger funds and funds charging higher incentive fees exhibit lower risk, whereas funds charging higher management fees, imposing longer notice periods, and stemming from large fund-families take more risk. There is considerable variation in the risk levels between funds reporting in Euro and USD, with Euro funds being consistently less risky, suggesting that these funds target different types of investors with other preferences.

AB - This paper investigates the determinants of the average level of risk of hedge funds, which provide high liquidity to their investors and report their returns on a daily basis. We find that larger funds and funds charging higher incentive fees exhibit lower risk, whereas funds charging higher management fees, imposing longer notice periods, and stemming from large fund-families take more risk. There is considerable variation in the risk levels between funds reporting in Euro and USD, with Euro funds being consistently less risky, suggesting that these funds target different types of investors with other preferences.

U2 - 10.2139/ssrn.2520514

DO - 10.2139/ssrn.2520514

M3 - Journal article

SP - 6

EP - 18

JO - Bankers, Markets & Investors

JF - Bankers, Markets & Investors

IS - 140

ER -