Comments on: More mystical dates http://allaboutalpha.com/blog/2009/02/13/more-mystical-dates/ A finance blog about hedge funds, portable alpha and alternative investing. Thu, 09 Feb 2012 19:03:08 +0000 http://wordpress.org/?v=abc hourly 1 By: Tomas Garbaravičius http://allaboutalpha.com/blog/2009/02/13/more-mystical-dates/comment-page-1/#comment-153231 Tomas Garbaravičius Tue, 10 Mar 2009 22:26:53 +0000 http://allaboutalpha.com/blog/?p=4185#comment-153231 In the hedge fund sector, the 45-day notice period does not seem to be the most common one. For more information, see the Dec 2007 ECB Financial Stability Review (http://www.ecb.int/pub/pdf/other/financialstabilityreview200712en.pdf), Box 4 on Hedge fund investor redemption restrictions and the risk of runs by investors, pp. 56-59. In the hedge fund sector, the 45-day notice period does not seem to be the most common one. For more information, see the Dec 2007 ECB Financial Stability Review (http://www.ecb.int/pub/pdf/other/financialstabilityreview200712en.pdf), Box 4 on Hedge fund investor redemption restrictions and the risk of runs by investors, pp. 56-59.

]]> By: Tammer Kamel http://allaboutalpha.com/blog/2009/02/13/more-mystical-dates/comment-page-1/#comment-152226 Tammer Kamel Mon, 16 Feb 2009 03:17:15 +0000 http://allaboutalpha.com/blog/?p=4185#comment-152226 The whole point of “notice periods” is precisely so that hedge funds have time, 30 or 45 or 90 days, to liquidate positions to meet redemptions. The idea that hedge funds wait until N days before redemption, quickly liquidate what they must, and then return to business as usual is silly. In reality a manager will liquidate gradually over her redemption period—that is the whole point of the notice period. Thus there is no theoretical basis to think that redemption notice deadlines will increase selling propensity on any specific day. There might however be something in the converse. That is to say, hedge funds might begin to feel more comfortable initiating new positions 30 or 45 days before end of quarter because at that point they know that no further redemptions need to be met for some period of time. The whole point of “notice periods” is precisely so that hedge funds have time, 30 or 45 or 90 days, to liquidate positions to meet redemptions. The idea that hedge funds wait until N days before redemption, quickly liquidate what they must, and then return to business as usual is silly. In reality a manager will liquidate gradually over her redemption period—that is the whole point of the notice period. Thus there is no theoretical basis to think that redemption notice deadlines will increase selling propensity on any specific day.

There might however be something in the converse. That is to say, hedge funds might begin to feel more comfortable initiating new positions 30 or 45 days before end of quarter because at that point they know that no further redemptions need to be met for some period of time.

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