Conditions for Survival : changing risk and the performance of hedge fund managers and CTAs

@inproceedings{Brown1997ConditionsFS,
  title={Conditions for Survival : changing risk and the performance of hedge fund managers and CTAs},
  author={Stephen J. Brown and William N. Goetzmann},
  year={1997}
}
We investigate whether hedge fund and commodity trading advisor [CTA] return variance is conditional upon performance in the first half of the year. Our results are consistent with the Brown, Harlow and Starks (1994) findings for mutual fund managers. We find that good performers in the first half of the year reduce the volatility of their portfolios, but not vice-versa. The result that manager "variance strategies" depend upon relative ranking not distance from the high water mark threshold is… CONTINUE READING
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