 Abstract:
The Effects of Management and Provision Accounts on Hedge Fund Returns
A characteristic of hedge funds is not only an active portfolio management, but
also the allocation of portfolio performance between di erent accounts, which
are the accounts for the external investors, an account for the management rm
and a provision account. Despite a lack of transparency in hedge fund market,
the strategy of performance allocation is publicly available. This paper shows
that these complex performance allocation strategies might explain stylized
facts observed in hedge fund returns, such as return persistence, skewed return
distribution, bias ratio, or implied increasing risk appetite.
Authors:
Serge DAROLLES
;Christian GOURIEROUX
y
JEL classification:
Keywords:
Hedge Fund, Sharpe Performance, Persistence of Returns, BiasRatio, Manager Incentive, Risk Appetite, High Water Mark, Management Account Bias, Provision Account Bias.
Attached files
 management.pdf (329 KB)
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