Posted: 23 Jan 2011
Date Written: January 21, 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 Funds
Suggested Citation: 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: https://ssrn.com/abstract=1745104