Battle for Alphas: Hedge Funds versus Long-Only Portfolios

摘要: The study reported here empirically examined whether the alphas of hedge funds and those long-only portfolios present different distributions are derived from risk factors. Adjusted for return volatility differences, seem to offer more consistent potential transfer either equity or bond asset classes than do portfolios—even under extreme market conditions. Potential explanations findings include lack data reliability differences between actively managed in compensation, investment constraints, structures. Factors related index returns not adequately detect funds' postures beyond a fund's exposure market-directional standard classes. Risk factors prices financial markets provide timely systematic descriptions risks underlying trading strategies used by funds. multifactor style-risk analysis presented can effec...