Three Essays about Hedge Fund Performance Attributions: The Case of Investment Team Structure, Separately Managed Accounts, and Private Placement

Abstract

This paper examines the attributes of hedge fund outperformance by analysing the characteristics of funds, fund managers and their investment universe. The study focuses on three main characteristics: investment team structures, separately managed accounts (SMAs), and private placement. Firstly, the research investigates whether fund returns are superior when managed by a single portfolio manager or a team of portfolio managers. Secondly, it examines how hedge fund performance differs when the fund manager manages separately managed accounts (SMAs). Lastly, the paper examines attribution of outperformance of hedge funds which choose to invest in private placements. Scholars have conducted research on this subject, exploring hedge fund structures such as fees, redemption frequency, fund age and other characteristics. Additionally, some researchers have studied hedge fund manager characteristics that attribute to outperformance, including education level, SAT scores, gender, and even relationships with political lobbying. While previous literatures have covered the attributes of outperformance in mutual fund investment team structures, no scholars have specifically applied this research to hedge funds. Furthermore, the results of studies on mutual funds have been mixed, which has sparked my interest in exploring the answer within the hedge fund space. Lastly, this study considers additional attributes, such as separately managed accounts and private placement, to determine whether they can explain hedge fund outperformance. The results indicate that these two variables contribute to hedge fund outperformance and lead to changes in the fund's return volatility.

Date of Award	30 Dec 2024
Original language	English
Awarding Institution	City University of Hong Kong
Supervisor	Tao LI (Supervisor)