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  • The Search for Hedge Fund Alpha

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    52354_2.pdf (367.7Kb)
    Author(s)
    J. Bianchi, Robert
    Drew, Michael
    Stanley, Alex
    Griffith University Author(s)
    Drew, Michael E.
    Bianchi, Robert
    Year published
    2008
    Metadata
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    Abstract
    This paper analyses the performance of the global hedge fund industry to determine whether alpha, or risk-adjusted excess returns are earned. The efficient market hypothesis questions whether professional investors such as hedge funds can produce superior returns over and above a passive investment strategy. The study examines 7,355 surviving and non-surviving global hedge funds for the period 1994-2006. This paper proposes a simple multi-factor model which is easier to implement in comparison to more complex option-based frameworks that are proposed in the literature. The multi-factor framework employed in this study ...
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    This paper analyses the performance of the global hedge fund industry to determine whether alpha, or risk-adjusted excess returns are earned. The efficient market hypothesis questions whether professional investors such as hedge funds can produce superior returns over and above a passive investment strategy. The study examines 7,355 surviving and non-surviving global hedge funds for the period 1994-2006. This paper proposes a simple multi-factor model which is easier to implement in comparison to more complex option-based frameworks that are proposed in the literature. The multi-factor framework employed in this study demonstrates that the returns of individual funds and the systematic return of the global hedge fund industry can be replicated with passive investment strategies in global financial markets. This study reveals little alpha or manager skill in this sample of hedge funds and therefore questions the validity of high management fee structures in this segment of the global funds management industry.
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    Journal Title
    JASSA The FINSIA Journal of Applied Finance
    Issue
    3
    Publisher URI
    https://www.finsia.com/
    Copyright Statement
    © 2008 JASSA and the Authors. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Accounting, auditing and accountability
    Banking, finance and investment
    Publication URI
    http://hdl.handle.net/10072/22226
    Collection
    • Journal articles

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