The search for hedge fund alpha
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.
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|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|
|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|
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