http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Thu, 18 Mar 2010 13:53:53 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/comment-page-1/#comment-72 All About Alpha » Blog Archives » DJI plans hedge fund ‘clone’ launch Tue, 14 Nov 2006 15:45:58 +0000 http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/#comment-72 [...] Research from Yale University and the London School of Economics backs him up on this.    [...] [...] Research from Yale University and the London School of Economics backs him up on this.    [...]

]]> http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/comment-page-1/#comment-64 All About Alpha » Blog Archives » Norges chief slams “disguised beta” hedge funds Sat, 04 Nov 2006 01:54:21 +0000 http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/#comment-64 [...] We at AllAboutAlpha.com would agree that index-hugging is the Achilles Heel of traditional long-only management.  Studies such as this one from the Yale School of Management show that the passive proportion of US mutual funds has been growing since the early 1980’s.  But the jury is still out when it comes to hedge funds. [...] [...] We at AllAboutAlpha.com would agree that index-hugging is the Achilles Heel of traditional long-only management.  Studies such as this one from the Yale School of Management show that the passive proportion of US mutual funds has been growing since the early 1980’s.  But the jury is still out when it comes to hedge funds. [...]

]]> http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/comment-page-1/#comment-49 All About Alpha » Blog Archives » Is there an optimal mix between alpha and beta in hedge fund returns? Wed, 18 Oct 2006 20:26:06 +0000 http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/#comment-49 [...] The author conducts a factor-analysis on Asian long/short funds to identify whether they contain any of the “good stuff” (alpha).  Her conclusion: yes, there is alpha in Asian long/short funds.  A similar conclusion was reached in a recent study of a broader set of hedge funds by Roger Ibbotson at Yale (see posting).  So hedge fund managers can breathe a sigh of relief for now - although the paper is unable to quantify said alpha. [...] [...] The author conducts a factor-analysis on Asian long/short funds to identify whether they contain any of the “good stuff” (alpha).  Her conclusion: yes, there is alpha in Asian long/short funds.  A similar conclusion was reached in a recent study of a broader set of hedge funds by Roger Ibbotson at Yale (see posting).  So hedge fund managers can breathe a sigh of relief for now – although the paper is unable to quantify said alpha. [...]

]]> http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/comment-page-1/#comment-37 张翼轸财经笔记 » 061010网摘 Tue, 10 Oct 2006 12:37:30 +0000 http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/#comment-37 [...] The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs #“In this paper, we focus on two issues. First, we analyze the potential biases in reported hedge fund returns, in particular survivorship bias and backfill bias, and attempt to create an unbiased return sample. Second, we decompose these returns into their three A,B,C components: the value added by hedge funds (alphas), the systematic market exposures (betas), and the hedge fund fees (costs). We analyze the performance of a universe of about 3,500 hedge funds from the TASS database from January 1995 through April 2006. Our results indicate that both survivorship and backfill biases are potentially serious problems. The equally weighted performance of the funds that existed at the end of the sample period had a compound annual return of 16.45% net of fees. Including dead funds reduced this return to 13.62%. Excluding backfill further reduced the return to 8.98%, net of fees. In this last sample, we estimate a pre-fee return of 12.72%, which we split into a fee (3.74%), an alpha (3.04%), and a beta return (5.94%). Overall, even after correcting for data biases, we find that the alphas are significantly positive and are approximately equal to the fees, meaning that excess returns were shared roughly equally between hedge fund managers and their investors.” [...] [...] The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs #“In this paper, we focus on two issues. First, we analyze the potential biases in reported hedge fund returns, in particular survivorship bias and backfill bias, and attempt to create an unbiased return sample. Second, we decompose these returns into their three A,B,C components: the value added by hedge funds (alphas), the systematic market exposures (betas), and the hedge fund fees (costs). We analyze the performance of a universe of about 3,500 hedge funds from the TASS database from January 1995 through April 2006. Our results indicate that both survivorship and backfill biases are potentially serious problems. The equally weighted performance of the funds that existed at the end of the sample period had a compound annual return of 16.45% net of fees. Including dead funds reduced this return to 13.62%. Excluding backfill further reduced the return to 8.98%, net of fees. In this last sample, we estimate a pre-fee return of 12.72%, which we split into a fee (3.74%), an alpha (3.04%), and a beta return (5.94%). Overall, even after correcting for data biases, we find that the alphas are significantly positive and are approximately equal to the fees, meaning that excess returns were shared roughly equally between hedge fund managers and their investors.” [...]

]]> http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/comment-page-1/#comment-33 Availability of exotic beta « Abnormal Returns Mon, 09 Oct 2006 15:55:34 +0000 http://allaboutalpha.com/blog/2006/10/07/the-abcs-of-hedge-funds-alphas-betas-and-costs/#comment-33 [...] All About Alpha recaps a paper that looks at the question of how much alpha is truly available to investors in various hedge fund strategies. One of the conclusions drawn is that some of these returns are a function of so-called “hedge fund betas” or “exotic betas.” These are in a sense systematic returns not currently available in publicly traded investment vehicles. [...] [...] All About Alpha recaps a paper that looks at the question of how much alpha is truly available to investors in various hedge fund strategies. One of the conclusions drawn is that some of these returns are a function of so-called “hedge fund betas” or “exotic betas.” These are in a sense systematic returns not currently available in publicly traded investment vehicles. [...]

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