The Right Place for Alternative Betas in Hedge Fund Performance

  title={The Right Place for Alternative Betas in Hedge Fund Performance},
  author={Walter G{\'e}hin and Mathieu Vaissi{\'e}},
In recent months, concerns have been raised about the profitability prospects for hedge funds. This article argues that market participants' pessimistic view of the hedge fund industry's capacity to generate long-term returns is a direct result of their continued focus on alpha. It illustrates the importance of considering not only the exposure to the market (the traditional beta), but also other exposures (the alternative betas) to characterize alternative sources of hedge fund returns. It… 
Dynamic Investment Strategies of Hedge Funds
In this paper we study the investment dynamics employed by hedge fund managers. Using daily data for nine investable hedge fund strategies, we use a rolling-over regression technique, which allows us
Hedge fund replication
In this article, we look at hedge fund replicators. These are products sold by financial institutions, which aim to match the returns of hedge funds. Hedge funds are able to make a positive return
Asset Allocation Barbells
The investment management industry is dominated by three kinds of service providers. Indexers offer to reproduce the performance of a benchmark. This service appeals to the most risk-averse investor,
The ABC’s of the alternative risk premium: academic roots
This paper is the second of a two-part series that provides essential context for any serious study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the academic
Selecting Investment Managers
  • C. Riley
  • Business
    The Journal of Investing
  • 2009
This article explores the relationship between manager quality and future performance and concludes there is only a weak relationship between the two. High quality managers tend to attract capital
Wo sind die Grenzen des Marktwachstums von Hedgefonds
In der Literatur wird haufig vermutet, dass eine zunehmende Anzahl Hedgefonds einen negativen Einfluss auf die Renditen dieser Fonds haben konnte. Dieser Vermutung wird in diesem Beitrag
Redefining Hedge Fund Alpha and Risk Exposures after the Financial Crisis
The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the
The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather than a Pandora's Box
This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this


Predictability in Hedge Fund Returns (corrected)
A significant amount of research has been devoted to the predictability of traditional asset classes, but little is known about the predictability of returns emanating from alternative vehicles, such
Predictability in Hedge Fund Returns
A significant amount of research has been devoted to the predictability of traditional asset classes, but little is known about the predictability of returns emanating from alternative vehicles, such
Do Hedge Fund Managers Display Skill?
This study uses monthly data on 115 hedge funds for the seven-year period 1994–2000 to examine performance after accounting for target market indices and illiquidity effects. We find that the excess
Do Hedge Funds Hedge?
Many hedge funds claim to provide significant diversification for traditional portfolios, besides attractive returns. The authors provide empirical evidence regarding the return and diversification
The Alpha and Omega of Hedge Fund Performance Measurement
That hedge funds start gaining wide acceptance while they still remain a somewhat mysterious asset class enhances the need for a better measurement of their performance. This paper is an attempt to
Benefits and risks of alternative investment strategies
As a result of the complex trading strategies they implement, and the full flexibility they have with respect to their ability to use derivatives and trade in illiquid markets, hedge fund managers,
The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors
The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for
Long/Short Equity Hedge Fund Investing
Investors in long/short equity hedge funds frequently debate the relative merits of generalist and sector specialist hedge fund managers. Most of this debate has been anecdotal. Conventional wisdom
Have Hedge Funds Eroded Market Opportunities?
Hedge funds, with almost $1 trillion under management before leverage, have become a dominant force in market trading. As they grow larger, they will eventually erode the market opportunities and
An Alternative Future
An argument can be made that hedge funds, particularly a combination of traditional index funds and hedge funds, represent the future of investment management? but we are not there yet, for a variety