(The Effect of Fund Characteristics on Success: Examination of Hedge Funds With Logistic Regression)

Abstract

Purpose – This study aimed to examine the effect of fund characteristics on their success. In the study, do the duration of operation, total value of funds, risk of funds, fund management fees, performance fees and investment strategies affect the success of the funds? What are the possible effects? Answers to their questions were sought. Design/methodology/approach – In the study, the threshold value was taken as the sum of the riskfree rate of return and the fund management fee, and a model was formed from the variables that may have an effect on the fund returns being considered successful according to this threshold. In this study, the data of 32 hedge funds operating in the January 2016-December 2020 period and whose 60- month returns can be calculated were used. The data of the study were analyzed with logistic regression, since the fund returns will take one of two values according to the threshold value as successful / unsuccessful. Findings – It has been determined that multiple investment strategy, long/short investment strategy and performance fees have a positive effect on the success of the hedge fund, while management fees have a negative effect. Discussion – It is thought that due to the rapid increase in the number of hedge funds operating in Turkey, the freedom to use leverage, and the short selling of these funds, arrangements should be made to avoid systemic effects in the industry and the possible systemic effects of these funds should be closely monitored.