Matches in SemOpenAlex for { <https://semopenalex.org/work/W2995133064> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2995133064 abstract "The hedge fund industry has grown from $200 billion in assets under management around the turn of the millennium to now over $3 trillion. Many reports have criticized hedge funds for poor performance, particularly since the 2008 global financial crisis (GFC). In this paper, I seek to demystify hedge fund strategies by evaluating fund performance that can be attributed to the markets as well as other well-known systematic factors with an emphasis on outcomes prior to and following the 2008 GFC. When adjusted for risk to stock/bond markets, the evidence shows that, after fees and costs, hedge fund managers as a group have shown a marked decline in risk-adjusted alpha in the 10 years following the GFC. To aid in a better understanding of the alpha deterioration, I further investigate equity hedge fund returns against a suite of well-known systematic risk/return factors documented in the literature beyond traditional market factors. In all, the model explains nearly 90 percent of the variation in returns. Equity hedge funds as a group show meaningful and consistent exposures to many of these factors over time, but whether intended or otherwise, significant changes also occurred (including a significant decline in active risk) following the GFC, in turn influencing their performance. Armed with this information, investors are hopefully better positioned to make more informed decisions in deciding hedge fund strategy allocations." @default.
- W2995133064 created "2019-12-26" @default.
- W2995133064 creator A5085885589 @default.
- W2995133064 date "2019-01-01" @default.
- W2995133064 modified "2023-09-26" @default.
- W2995133064 title "Hedge Fund Alpha: Cycle or Sunset?" @default.
- W2995133064 cites W1984272629 @default.
- W2995133064 cites W1995834279 @default.
- W2995133064 cites W2030662721 @default.
- W2995133064 cites W2084050624 @default.
- W2995133064 cites W2101434526 @default.
- W2995133064 cites W2101544483 @default.
- W2995133064 cites W2125520394 @default.
- W2995133064 cites W2136120210 @default.
- W2995133064 cites W2320249446 @default.
- W2995133064 cites W2735514780 @default.
- W2995133064 cites W3047960800 @default.
- W2995133064 cites W3121333276 @default.
- W2995133064 cites W3121508937 @default.
- W2995133064 cites W3122840957 @default.
- W2995133064 cites W3122942322 @default.
- W2995133064 cites W3122976065 @default.
- W2995133064 cites W3123639445 @default.
- W2995133064 cites W3123742195 @default.
- W2995133064 cites W3124201622 @default.
- W2995133064 cites W3124476761 @default.
- W2995133064 cites W3124536729 @default.
- W2995133064 cites W3124580578 @default.
- W2995133064 cites W3124639629 @default.
- W2995133064 cites W4211170237 @default.
- W2995133064 doi "https://doi.org/10.2139/ssrn.3498595" @default.
- W2995133064 hasPublicationYear "2019" @default.
- W2995133064 type Work @default.
- W2995133064 sameAs 2995133064 @default.
- W2995133064 citedByCount "0" @default.
- W2995133064 crossrefType "journal-article" @default.
- W2995133064 hasAuthorship W2995133064A5085885589 @default.
- W2995133064 hasConcept C10138342 @default.
- W2995133064 hasConcept C106159729 @default.
- W2995133064 hasConcept C127413603 @default.
- W2995133064 hasConcept C139719470 @default.
- W2995133064 hasConcept C144133560 @default.
- W2995133064 hasConcept C155301685 @default.
- W2995133064 hasConcept C162324750 @default.
- W2995133064 hasConcept C17744445 @default.
- W2995133064 hasConcept C18123600 @default.
- W2995133064 hasConcept C183582576 @default.
- W2995133064 hasConcept C199539241 @default.
- W2995133064 hasConcept C199728807 @default.
- W2995133064 hasConcept C204036174 @default.
- W2995133064 hasConcept C204434749 @default.
- W2995133064 hasConcept C206757995 @default.
- W2995133064 hasConcept C2778300220 @default.
- W2995133064 hasConcept C34375142 @default.
- W2995133064 hasConcept C36444102 @default.
- W2995133064 hasConcept C39389867 @default.
- W2995133064 hasConcept C55286048 @default.
- W2995133064 hasConcept C556758197 @default.
- W2995133064 hasConcept C68387835 @default.
- W2995133064 hasConcept C78519656 @default.
- W2995133064 hasConceptScore W2995133064C10138342 @default.
- W2995133064 hasConceptScore W2995133064C106159729 @default.
- W2995133064 hasConceptScore W2995133064C127413603 @default.
- W2995133064 hasConceptScore W2995133064C139719470 @default.
- W2995133064 hasConceptScore W2995133064C144133560 @default.
- W2995133064 hasConceptScore W2995133064C155301685 @default.
- W2995133064 hasConceptScore W2995133064C162324750 @default.
- W2995133064 hasConceptScore W2995133064C17744445 @default.
- W2995133064 hasConceptScore W2995133064C18123600 @default.
- W2995133064 hasConceptScore W2995133064C183582576 @default.
- W2995133064 hasConceptScore W2995133064C199539241 @default.
- W2995133064 hasConceptScore W2995133064C199728807 @default.
- W2995133064 hasConceptScore W2995133064C204036174 @default.
- W2995133064 hasConceptScore W2995133064C204434749 @default.
- W2995133064 hasConceptScore W2995133064C206757995 @default.
- W2995133064 hasConceptScore W2995133064C2778300220 @default.
- W2995133064 hasConceptScore W2995133064C34375142 @default.
- W2995133064 hasConceptScore W2995133064C36444102 @default.
- W2995133064 hasConceptScore W2995133064C39389867 @default.
- W2995133064 hasConceptScore W2995133064C55286048 @default.
- W2995133064 hasConceptScore W2995133064C556758197 @default.
- W2995133064 hasConceptScore W2995133064C68387835 @default.
- W2995133064 hasConceptScore W2995133064C78519656 @default.
- W2995133064 hasLocation W29951330641 @default.
- W2995133064 hasOpenAccess W2995133064 @default.
- W2995133064 hasPrimaryLocation W29951330641 @default.
- W2995133064 hasRelatedWork W2075339119 @default.
- W2995133064 hasRelatedWork W2086879717 @default.
- W2995133064 hasRelatedWork W2095614862 @default.
- W2995133064 hasRelatedWork W2145599162 @default.
- W2995133064 hasRelatedWork W2211855382 @default.
- W2995133064 hasRelatedWork W2953767870 @default.
- W2995133064 hasRelatedWork W2995133064 @default.
- W2995133064 hasRelatedWork W3182331461 @default.
- W2995133064 hasRelatedWork W4289526070 @default.
- W2995133064 hasRelatedWork W2167996820 @default.
- W2995133064 isParatext "false" @default.
- W2995133064 isRetracted "false" @default.
- W2995133064 magId "2995133064" @default.
- W2995133064 workType "article" @default.