Activities per year
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.
- hedge funds