Abstract

http://ssrn.com/abstract=1745104
 
 

Citations



 


 



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


Roger G. Ibbotson


Yale School of Management; Zebra Capital Management, LLC

Peng Chen


Ibbotson Associates

Kevin X. Zhu


Hong Kong Polytechnic University

January 21, 2011

Financial Analysts Journal, Vol. 67, No. 1, 2011

Abstract:     
The authors decomposed their estimated pre-fee 1995–2009 hedge fund return of 11.13 percent into fees (3.43 percent), an alpha (3.00 percent), and a beta (4.70 percent). The year-by-year results show that alphas were positive during every year of the past decade, even during the recent financial crisis.

Keywords: Alternative Investments, Hedge Funds, Performance Measurement and Evaluation, Portfolio Management, Alternative Investment Portfolio Management Strategies, Hedge Funds

Accepted Paper Series





Not Available For Download

Date posted: January 23, 2011  

Suggested Citation

Ibbotson, Roger G. and Chen, Peng and Zhu, Kevin X., The ABCs of Hedge Funds: Alphas, Betas, and Costs (January 21, 2011). Financial Analysts Journal, Vol. 67, No. 1, 2011. Available at SSRN: http://ssrn.com/abstract=1745104

Contact Information

Roger G. Ibbotson (Contact Author)
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
Peng Chen
Ibbotson Associates ( email )
225 North Michigan Avenue
Suite 700
Chicago, IL 60601
United States
(312) 616-1620 (Phone)
(312) 616-0404 (Fax)
Kevin X. Zhu
Hong Kong Polytechnic University ( email )
Hung Hom, Kowloon
Hong Kong
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