Measuring hedge fund liquidity mismatch

George O. Aragon, A. Tolga Ergun, Giulio Girardi, Mila Getmansky Sherman

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


The authors construct a comprehensive measure of mismatch between the market liquidity of assets and the funding liquidity of liabilities of hedge funds. The measure captures the complete liquidity landscape of hedge funds by encompassing liquidity from both sides of the balance sheet. Using quarterly Form Private Fund (PF) filings, they use portfolio, investor, and financing illiquidity to construct the liquidity mismatch measure and study its dynamics from 2013–2015. They find that the market liquidity of a hedge fund’s assets is typically higher than the funding liquidity of its borrowings and investor capital (negative liquidity mismatch). However, liquidity mismatch tends to be greater (more positive) when VIX is high and among funds with higher leverage, lower managerial stake, and smaller size.

Original languageEnglish (US)
Pages (from-to)26-42
Number of pages17
JournalJournal of Alternative Investments
Issue number1
StatePublished - Jun 2021


  • Exchanges/markets/clearinghouses
  • Financial crises
  • Financial market history
  • Real assets/alternative investments/private equity
  • Risk management

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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