Der Lebenszyklus von Hedgefonds

In terms of the efficient market hypothesis, hedge funds exploit market price anomalies, thereby enhancing market efficiency. With arbitrage-focused strategies, hedge funds can achieve above-average risk-adjusted returns; however, this is only sustainable until the traded inefficiencies, the models used, and the investment techniques become known in the market. The risk premiums that can be obtained decrease as soon as other investment managers start trading the same inefficiencies.

Dieter G. Kaiser explores whether hedge funds are subject to a product life cycle. To this end, he examines data sets from over 1,400 hedge funds from January 1996 to May 2006 at both the fund and strategy levels, calculating various statistical metrics for each hedge fund and comparing them with their respective peer groups. The analysis focuses on modeling and empirically demonstrating a life cycle in hedge funds.