Which Hedge Fund Managers Deliver Alpha

@inproceedings{Heuson2011WhichHF,
  title={Which Hedge Fund Managers Deliver Alpha},
  author={Andrea Heuson and Mark C. Hutchinson},
  year={2011}
}
92 percent of hedge funds in the TASS database have returns which exhibit systematic skewness so the alpha of the managers of these hedge funds is difficult to estimate with OLS. To control for skewness the Residual Augmented Least Squares (RALS) estimator is specified to measure the performance of these hedge funds. We demonstrate that the OLS performance assessment error depends systematically on skewness, is economically significant, and that RALS is not sensitive to this bias. Furthermore… CONTINUE READING

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