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

Posted: 23 Jan 2011  

Roger G. Ibbotson

Yale School of Management; Zebra Capital Management, LLC

Peng Chen

Ibbotson Associates

Kevin X. Zhu

Hong Kong Polytechnic University

Date Written: January 21, 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

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

Roger G. Ibbotson (Contact Author)

Yale School of Management ( email )

165 Whitney Avenue
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

Paper statistics

Abstract Views
1,152