The ABCs of Hedge Funds: Alphas, Betas, and Costs
Roger G. Ibbotson
Yale School of Management; Zebra Capital Management, LLC
Kevin X. Zhu
Hong Kong Polytechnic University
January 21, 2011
Financial Analysts Journal, Vol. 67, No. 1, 2011
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 FundsAccepted Paper Series
Date posted: January 23, 2011
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.359 seconds