Once liquidity risk is incorporated into the analysis, the superior performance previously attributed to predictability in managerial skills disappears in hedge fund portfolios.
Source quote, verbatim
They find that the outperformance previously attributed to predictability in managerial skills disappears in hedge fund portfolios when accounting for liquidity risk.
From
Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016), POST-CRISIS EVIDENCE ON THE SYSTEMIC RISK OF HEDGE FUNDS, p. 15 https://ssrn.com/abstract=2748096 · source PDF
Cite as
Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096
Holds when
hedge fund portfolios formed on predictability in managerial skill
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