Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees
研究发现高波动率对冲基金收取更高费用，但扣除费用后的夏普比率低于低波动率基金，这可能源于对受限制机构投资者的租金提取或服务补偿。
Institutional investors face various leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables unconstrained investors with high volatility targets to extract additional income from constrained institutional investors. Using a sample of 1,938 long–short equity hedge funds spanning 15 years, the authors show that high-volatility funds charge higher fees and deliver lower net-of-fees Sharpe ratios than do their low-volatility peers. This evidence could be interpreted as a situational rent extraction or as a service compensation. Conversely, increased volatility could result from a manager’s ambition to deliver large net information ratios after accounting for a high fee structure. <b>TOPICS:</b>Real assets/alternative investments/private equity, analysis of individual factors/risk premia, legal/regulatory/public policy