
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme
Darolles, Serge; Gouriéroux, Christian (2014), The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme, in Huynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, Songsak, Modeling Dependence in Econometrics Selected Papers of the Seventh International Conference of the Thailand Econometric Society, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014, Springer : Berlin, p. 23-45. http://dx.doi.org/10.1007/978-3-319-03395-2_2
Type
Communication / ConférenceDate
2014Conference title
Seventh International Conference of the Thailand Econometric SocietyConference date
2014-01Conference city
Chiang MaiConference country
ThaïlandeBook title
Modeling Dependence in Econometrics Selected Papers of the Seventh International Conference of the Thailand Econometric Society, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014Book author
Huynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, SongsakPublisher
Springer
Series title
Advances in Intelligent Systems and ComputingSeries number
251Published in
Berlin
ISBN
978-3-319-03394-5
Number of pages
575 p.Pages
23-45
Publication identifier
Metadata
Show full item recordAbstract (EN)
A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors and an account for the management firm, respectively. Despite a lack of transparency in hedge fund market, the strategy of performance allocation is publicly available. This paper shows that, for the High WaterMark Scheme, these complex performance allocation strategiesmight explain empirical facts observed in hedge fund returns, such as return persistence, skewed return distribution, bias ratio, or implied increasing risk appetite.Subjects / Keywords
Hedge Fund; Sharpe Performance; Persistence of Returns; Bias Ratio; Manager Incentive; Risk Appetite; High Water Mark; Management Account Bias; Provision Account BiasRelated items
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