• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Conference outputs
    • View Item
    • Home
    • Griffith Research Online
    • Conference outputs
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • The Search for Hedge Fund Alpha

    Thumbnail
    View/Open
    61374_1.pdf (77.48Kb)
    Author(s)
    J. Bianchi, Robert
    E. Drew, Michael
    Stanley, Alex
    Griffith University Author(s)
    Bianchi, Robert
    Year published
    2008
    Metadata
    Show full item record
    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 ...
    View more >
    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.
    View less >
    Conference Title
    37th Australian Conference of Economists (ACE2008)
    Publisher URI
    http://www.ace08.com.au/
    Copyright Statement
    © 2008 Economic Society of Australia QLD Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the publisher's website for access to the definitive, published version.
    Publication URI
    http://hdl.handle.net/10072/32596
    Collection
    • Conference outputs

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander