QUT ePrints

The search for hedge fund alpha

Bianchi, Robert J., Drew, Michael E., & Stanley, Alex (2008) The search for hedge fund alpha. JASSA The Finsia Journal of Applied Finance, pp. 39-47.

View at publisher

Abstract

While hedge funds continue to increase their funds under management, the evidence of their ability to earn alpha or excess returns remains mixed. We consider whether hedge fund returns can be explained by a simple multi-factor model without the inclusion of complex option based investment strategies. We found that over the 1994-2006 period, only 5-7% of the hedge funds we studied earned statistically significant alpha, suggesting that hedge fund alpha is as elusive as ever.

Impact and interest:

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

ID Code: 18931
Item Type: Journal Article
Additional Information: For more information, please refer to the journal's website (see hypertext link) or contact the author
Keywords: Hedge Funds, Alpha, Fund Performance
ISSN: 0313-5934
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2008 Financial Services of Australasia (FINSIA)
Deposited On: 24 Mar 2009 11:16
Last Modified: 29 Feb 2012 23:42

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page