Performance fees and hedge fund return dynamics

Darolles, Serge; Gouriéroux, Christian

Darolles, Serge; Gouriéroux, Christian (2015), Performance fees and hedge fund return dynamics, International Journal of Approximate Reasoning, 65, p. 45-58. 10.1016/j.ijar.2015.03.006

Type

Article accepté pour publication ou publié

Date

2015-03

Nom de la revue

International Journal of Approximate Reasoning

Volume

Éditeur

Elsevier

Pages

45-58

Identifiant publication

10.1016/j.ijar.2015.03.006

Métadonnées

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Auteur(s)

Darolles, Serge
Dauphine Recherches en Management [DRM]
Gouriéroux, Christian

Résumé (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 lack of transparency in hedge fund market, the strategy of performance allocation is publicly available. This paper shows that, for the High-Water Mark Scheme, these complex performance allocation strategies might explain empirical facts observed in hedge fund returns, such as return persistence, skewed return distribution, bias ratio, or implied increasing risk appetite.