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The profiles of merged hedge funds, funds of hedge funds, and CTA

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ABSTRACT

This study examines the profiles of 412 merged hedge funds (HFs), funds of HFs (FoHFs), and commodity trading advisors (CTAs) over the January 1994 through December 2013 period. We find that merged HFs, FoHFs, and CTAs are typically younger than live HFs but older than dead funds. We also find that merged HFs, FoHFs, and CTAs have relatively fewer constraints than live and dead ones. Specifically, they have shorter lockup period, use less leverage and request less value of purchasing initial investments or units. In addition, we find that past performance is a significant determinant for mergers. Thus, HF, FoHF, and CTA mergers could be motivated by a need to eradicate bad performing funds. These results are robust to different performance measures and hold after correcting for backfill bias and removing the effects of artificial serial correlation.

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Authors and Affiliations

  1. Department of Finance, State University of New York (Plattsburgh), 101 Broad Street, Plattsburgh, NY, 12901, USA

    Greg N. Gregoriou

  2. Department of Finance, School of Management, Université du Québec à Montréal, 315, Rue St-Catherine Est, R-2915, Montreal, QC, H2X 3X2, Canada

    Maher Kooli

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  1. Greg N. Gregoriou
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  2. Maher Kooli
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Correspondence to Greg N. Gregoriou.

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Gregoriou, G.N., Kooli, M. The profiles of merged hedge funds, funds of hedge funds, and CTA. J Asset Manag 18, 49–63 (2017). https://doi.org/10.1057/s41260-016-0002-y

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  • DOI: https://doi.org/10.1057/s41260-016-0002-y

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