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Tesi etd-11152018-160929

Type of thesis
Corsi integrativi di II livello
Author
MACCI, GABRIELE
URN
etd-11152018-160929
Title
Why do bad hedge-fund managers survive?
Structure
Cl. Sc. Sociali - Scienze Economiche
Course
SCIENZE ECONOMICHE E MANAGERIALI - Economics (DM 270)
Committee
relatore Prof. BOTTAZZI, GIULIO
Presidente Prof. NUVOLARI, ALESSANDRO
Membro Prof. CINQUINI, LINO
Membro Prof. MONETA, ALESSIO
Membro Prof. PICCALUGA, ANDREA MARIO CUORE
Keywords
  • Nessuna parola chiave trovata
Exam session start date
;
Availability
completa
Abstract
The relationship between the performance of a hedge fund and the quality of its portfolio managers is hardly simple or easy to judge; in other words, it is not easy to distinguish between “bad” and “good” managers. One common belief is that judging the quality of a fund manager is easier when the financial market environment is positive and stable than when it is negative and volatile. Contrary to this belief, preliminary observation of empirical data shows that the distribution of fund performance and the ratio between “good” and “bad” managers stay relatively stable with time, even when the market conditions change substantially. This paper, after describing the empirical data, introduces a model attempting to interpret the observed invariance. The adopted model is based on a modified principal agent scheme where each manager is an agent and each fund investor is a principal. The developed model, which takes into account the different levels of turnover present in bull and bear periods, justifies the invariance between “good” and “bad” managers.
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