Market Risk and Financial Markets Modeling

摘要: Various studies have analyzed the determinants of hedge fund performance. The majority them, however, come to contradictory conclusions with respect direction influence different factors on key reason for inconsistencies is highly dynamic nature funds. This paper specifically focuses dynamics relations between performance and various microeconomic factors. It quantifies shifts in average alpha that result from changes style, age, size, fee structure investigates time variation these shifts. empirical results highlight industry. Hedge funds seem generate a positive significant average; level varies considerably over time. hard predict exact absolute based micro-factors, but it seems be possible rank using micro-information. suggest large high relative inflow, charging higher than median management fees, are likely deliver their peers most