Opacity, risk, performance and inflows in hedge funds

Flavia Januzzi, Aureliano Bressan, Fernando Moreira

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

This article analyzes the relationship between opaque assets and the risks, returns and inflows of hedge funds. In particular, we use a unique dataset containing information required by a Brazilian regulator to evaluate the amount invested by funds in forward and future contracts, swaps and options in the context of qualified and non-qualified investors. Our results show a positive association between the positions in derivatives and the variations in risk and a negative association between derivatives (especially swaps) and the funds’ monthly performances. Hedge funds adopting leveraged operations with derivatives also present a lower annual performance. In general, there is significant evidence that swaps are related to fund inflows in a negative way with regard to qualified and non-qualified investors.
Original languageEnglish
Pages (from-to)77-99
Journal The Journal of Contemporary Administration
Issue number1
Publication statusPublished - 1 Jan 2020

Keywords / Materials (for Non-textual outputs)

  • derivatives
  • hedge funds
  • opacity


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