Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry
研究对冲基金和CTA经理的职业顾虑如何影响基金波动性，发现过去业绩与风险水平相关，且生存取决于绝对和相对业绩、过度波动及基金年龄。
ABSTRACT Investors in hedge funds and commodity trading advisors (CTAs) are concerned with risk as well as return. We investigate the volatility of hedge funds and CTAs in light of managerial career concerns. We find an association between past performance and risk levels consistent with previous findings for mutual fund managers. Variance shifts depend upon relative rather than absolute fund performance. The importance of relative rankings points to the importance of reputation costs in the investment industry. Our analysis of factors contributing to fund disappearance shows that survival depends on absolute and relative performance, excess volatility, and on fund age.