Abstract

http://ssrn.com/abstract=1029644
 
 

References (62)



 
 

Citations (8)



 


 



Betas, Characteristics and the Cross-Section of Hedge Fund Returns


Mark M. Klebanov


University of Chicago - Graduate School of Business (GSB)

January 7, 2008


Abstract:     
I group individual hedge funds on their ex ante betas into portfolios that have reliably different ex post betas. This approach constitutes an alternative to classifying funds by investment style and offers a way to accurately quantify individual funds' exposure to systematic risk. Hedge funds' characteristics predict returns in ways that are unrelated to risk exposures. Abnormal returns associated with characteristics are minimal. On average, betas (and characteristics) do not explain more than 20% (30%) of the cross-sectional variation in hedge fund returns. Under some assumptions about the data, hedge funds' abnormal returns justify their fees.

Number of Pages in PDF File: 80

Keywords: Hedge funds

JEL Classification: G10, G19

working papers series


Download This Paper

Date posted: November 13, 2007 ; Last revised: January 9, 2008

Suggested Citation

Klebanov, Mark M., Betas, Characteristics and the Cross-Section of Hedge Fund Returns (January 7, 2008). Available at SSRN: http://ssrn.com/abstract=1029644 or http://dx.doi.org/10.2139/ssrn.1029644

Contact Information

Mark M. Klebanov (Contact Author)
University of Chicago - Graduate School of Business (GSB) ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,556
Downloads: 477
Download Rank: 32,151
References:  62
Citations:  8

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.250 seconds