Some researchers find a significant and positive relation between aggregate cash flows and past aggregate hedge fund returns, indicating that hedge fund investors as a group chase past aggregate performance. However, as common investment textbook argued that past information may not be able to reflect who is a Star or just a Monkey.
These researchers also report a significant and positive relation between aggregate cash flows and contemporaneous aggregate hedge fund returns. However, they find marginal evidence on a negative relation between aggregate fund flows and subsequent hedge fund returns, suggesting that hedge fund investors as a group are unable to successfully time hedge fund returns.
In fact, they state that investors put money into the hedge fund sector following high stock market returns and low returns on Treasury bills, while stock and bond market returns are not related to past aggregate hedge fund flows.
These researchers also report a significant and positive relation between aggregate cash flows and contemporaneous aggregate hedge fund returns. However, they find marginal evidence on a negative relation between aggregate fund flows and subsequent hedge fund returns, suggesting that hedge fund investors as a group are unable to successfully time hedge fund returns.
In fact, they state that investors put money into the hedge fund sector following high stock market returns and low returns on Treasury bills, while stock and bond market returns are not related to past aggregate hedge fund flows.
see detail: Aggregate Hedge Fund Flows and Asset Returns
No comments:
Post a Comment