Arbeitspapier
Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance
We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the alphas) collected from 74 studies, we document a strong downward trend in the reported alphas. The trend persists even after controlling for heterogeneity in hedge fund characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice methodology are close to zero across all common hedge fund strategies. Additionally, our data allow us to estimate the mean management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund and study characteristics. Overall, our findings indicate that, while hedge funds historically generated positive value for investors, their ability to do so has diminished substantially.
- Sprache
-
Englisch
- Klassifikation
-
Wirtschaft
Labor Demand
Human Capital; Skills; Occupational Choice; Labor Productivity
Wage Level and Structure; Wage Differentials
- Thema
-
Hedge funds
alpha
performance
fees
meta-analysis
model uncertainty
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yang, Fan
Havranek, Tomas
Irsova, Zuzana
Novak, Jiri
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz Information Centre for Economics
- (wo)
-
Kiel, Hamburg
- (wann)
-
2024
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Yang, Fan
- Havranek, Tomas
- Irsova, Zuzana
- Novak, Jiri
- ZBW - Leibniz Information Centre for Economics
Entstanden
- 2024
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