The search for hedge fund alpha
Description
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:
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ID Code: | 224212 |
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Item Type: | Contribution to Journal (Journal Article) |
Refereed: | Yes |
Measurements or Duration: | 9 pages |
Keywords: | Alpha, Funds under management, Hedge funds, Market efficiency, Risk management |
ISSN: | 0313-5934 |
Pure ID: | 33599654 |
Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
Copyright Owner: | Copyright 2008 Financial Services of Australasia (FINSIA) |
Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au |
Deposited On: | 06 Nov 2021 19:22 |
Last Modified: | 03 Mar 2024 14:24 |
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