• The ABCs of Hedge Funds: Alphas, Betas, and Costs

    Posted January 25, 2011 By in News With | Comments Off The ABCs of Hedge Funds: Alphas, Betas, and Costs

    Financial Analysts Journal, “The ABCs of Hedge Funds: Alphas, Betas and Costs”. Interesting discussion on the challenges of evaluating hedge fund performance and attribution of returns over the period 1995-2009. The paper estimates how survivorship (performance universes not reflecting performance of failed funds) and back fill (performance universes permitting new entrants to insert historical results) biases lead to substantial over-stating of hedge fund returns. The paper concludes that over the time-frame studied, simple equity, bond, and cash betas accounted for 42% of overall performance; fees for 31%; and alpha, which was consistent and positive over the time frame studied, accounted  for a further 27%.

    To order article go to www.cfapubs.org/doi/abs/10.2469/faj.v67.n1.6


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