Are hedge fund managers skilled?

Maher Kooli and Ivan Stetsyuk

Global Finance Journal, 2021, vol. 49, issue C

Abstract: This study measures the skill of hedge fund (HF) managers by calculating the value added that they extract from capital markets. Applying bootstrapping to control for luck, we find that HF managers are skilled, with the magnitude of the value added depending on the benchmark. Compared to the Vanguard S&P 500 Index Fund and a set of eight Vanguard index funds, HF managers add on average $3.24 million per year and $2.88 million per year, respectively, although these values were higher before the financial crisis of 2007–2008 than afterwards. Finally, we find no evidence that HF managers share this value added with their investors.

Keywords: Hedge funds; Manager skill; Value added; Alpha; Bootstrap (search for similar items in EconPapers)
JEL-codes: G23 J24 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:49:y:2021:i:c:s104402832030274x

DOI: 10.1016/j.gfj.2020.100574

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