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Crystallization: the hidden dimension of hedge funds' fee structure

Gert Elaut (UGent) , Michael Frömmel (UGent) and John Sjödin (UGent)
(2014) BARCLAY INSIDER REPORT.
Author
Organization
Abstract
We investigate the implications of variations in the frequency with which hedge funds update their high-water mark on fees paid by hedge fund investors. Using data on Commodity Trading Advisors (CTAs), we perform simulations to analyse the effect. We find a statistically and economically significant effect of the crystallization frequency on total fee load. Funds’ total fee load increases significantly as the crystallization frequency increases. As such, our findings indicate that the total fee load depends not only on the management fee and incentive fee, but also on the crystallization frequency set by the manager.
Keywords
Commodity Trading Advisor, Fee structure, CTA, Crystallization, Hedge funds

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MLA
Elaut, Gert, et al. “Crystallization: The Hidden Dimension of Hedge Funds’ Fee Structure.” BARCLAY INSIDER REPORT, BarclayHedge, 2014.
APA
Elaut, G., Frömmel, M., & Sjödin, J. (2014). Crystallization: the hidden dimension of hedge funds’ fee structure. BarclayHedge.
Chicago author-date
Elaut, Gert, Michael Frömmel, and John Sjödin. 2014. “Crystallization: The Hidden Dimension of Hedge Funds’ Fee Structure.” BARCLAY INSIDER REPORT. BarclayHedge.
Chicago author-date (all authors)
Elaut, Gert, Michael Frömmel, and John Sjödin. 2014. “Crystallization: The Hidden Dimension of Hedge Funds’ Fee Structure.” BARCLAY INSIDER REPORT. BarclayHedge.
Vancouver
1.
Elaut G, Frömmel M, Sjödin J. Crystallization: the hidden dimension of hedge funds’ fee structure. BARCLAY INSIDER REPORT. BarclayHedge; 2014.
IEEE
[1]
G. Elaut, M. Frömmel, and J. Sjödin, “Crystallization: the hidden dimension of hedge funds’ fee structure,” BARCLAY INSIDER REPORT. BarclayHedge, 2014.
@misc{4226405,
  abstract     = {{We investigate the implications of variations in the frequency with which hedge funds update their high-water mark on fees paid by hedge fund investors. Using data on Commodity Trading Advisors (CTAs), we perform simulations to analyse the effect. We find a statistically and economically significant effect of the crystallization frequency on total fee load. Funds’ total fee load increases significantly as the crystallization frequency increases. As such, our findings indicate that the total fee load depends not only on the management fee and incentive fee, but also on the crystallization frequency set by the manager.}},
  author       = {{Elaut, Gert and Frömmel, Michael and Sjödin, John}},
  keywords     = {{Commodity Trading Advisor,Fee structure,CTA,Crystallization,Hedge funds}},
  language     = {{eng}},
  pages        = {{7}},
  publisher    = {{BarclayHedge}},
  series       = {{BARCLAY INSIDER REPORT}},
  title        = {{Crystallization: the hidden dimension of hedge funds' fee structure}},
  year         = {{2014}},
}