The Effect of Investment Constraints on Hedge Fund Investor Returns
研究真实世界中投资者面临的投资约束（如基金规模限制、流动性约束、最低分散化要求等）如何影响对冲基金业绩及其持续性，发现这些约束使业绩难以被利用，尤其对大型投资者。
This paper examines the effect of real-world, investor-level investment constraints, including several that have not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly reduced when rebalancing rules reflect fund size restrictions and liquidity constraints but remains statistically significant at higher rebalancing frequencies. Hypothetical investor portfolios that incorporate additional minimum diversification constraints, minimum investment requirements, and focus on open funds suggest that the performance and its persistence documented in earlier studies of hedge funds is not easily exploitable, especially by large investors.