Alternative Asset Pricing: Momentum and the Hedge Fund Puzzle

  title={Alternative Asset Pricing: Momentum and the Hedge Fund Puzzle},
  author={Stephen Bond and Lew Johnson},
This article examines the effect of including hedge funds in the investment pool on the asset return bounds implied by established finance theory. Bounds are violated in a way that is difficult to explain in the usual manner, thus suggesting that a modified framework is needed. The authors include commodities as well as stocks among the set of investable assets. Empirical tests of the momentum strategy consistently outperform the market over the past 10 years, including the meltdown of 2008… CONTINUE READING