The Myth of Hedge Fund Fee Diversification

IF 0.4 Q4 BUSINESS, FINANCE Journal of Alternative Investments Pub Date : 2019-06-28 DOI:10.3905/jai.2019.1.077
Fei Meng, D. Saunders, L. Seco
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引用次数: 2

Abstract

Many innovative hedge fund fee structures have been introduced in recent years in response to concerns about both the level of hedge fund fees and the incentives they may provide. A traditional fee structure consists of a flat fee charged as a percentage of the assets under management, together with a performance fee consisting of a percentage of the profits earned. A fee structure that has become more popular recently is the first-loss structure, in which the manager receives a higher performance fee in return for providing some downside protection to investors by insuring some of their losses. Combinations of these fee structures have also been proposed, with the possibility that investors may benefit from some diversification among the fee structures. By considering the investors’ risk–reward trade-off, the authors show that there is in fact very little benefit from such fee diversification. TOPICS: Real assets/alternative investments/private equity, performance measurement
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对冲基金费用分散的神话
近年来,为了应对人们对对冲基金费用水平及其可能提供的激励措施的担忧,引入了许多创新的对冲基金费用结构。传统的费用结构包括按管理资产的百分比收取的固定费用,以及按所赚利润的百分比支付的绩效费。最近越来越流行的一种费用结构是第一种损失结构,在这种结构中,经理可以获得更高的绩效费,以通过为投资者的一些损失投保来为投资者提供一些下行保护。还提出了这些费用结构的组合,投资者可能会从费用结构的多样化中受益。通过考虑投资者的风险-回报权衡,作者表明,这种费用多元化实际上收效甚微。主题:实物资产/另类投资/私募股权、绩效衡量
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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