Abstract

http://ssrn.com/abstract=2014430
 


 



Alpha Characteristics of Hedge Funds


Sameer Jain


American Realty Capital; Massachusetts Institute of Technology (MIT); Harvard University

December 19, 2011


Abstract:     
Hedge Fund (HF) managers are expected to create excess investment returns (Alpha) through two primary skills based sources: (i) Security selection: buying undervalued securities and selling overvalued securities. (ii) Market timing: entering markets in advance of, or when they are rising and exiting, or shorting them when they are declining. In this paper we employ a Kalman Filtering approach to measure the skills based component of HF returns. We separately quantify value generated through market timing and security selection decisions over various market regimes and detail the characteristics of HF Alpha.

Number of Pages in PDF File: 16

Keywords: Hedge Funds, alpha,market timing, security selection

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Date posted: March 2, 2012 ; Last revised: May 28, 2013

Suggested Citation

Jain, Sameer, Alpha Characteristics of Hedge Funds (December 19, 2011). Available at SSRN: http://ssrn.com/abstract=2014430 or http://dx.doi.org/10.2139/ssrn.2014430

Contact Information

Sameer Jain (Contact Author)
American Realty Capital ( email )
405 Park Avenue
15th Floor
New York, NY 10022
United States
Massachusetts Institute of Technology (MIT) ( email )
77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States
Harvard University ( email )
1875 Cambridge Street
Cambridge, MA 02138
United States
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