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