Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance

Fan Yang, Tomas Havranek, Zuzana Irsova and Jiri Novak

No ps2yn_v1, MetaArXiv from Center for Open Science

Abstract: We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the alphas) collected from 74 studies, we document a strong downward trend in the reported alphas. The trend persists even after controlling for heterogeneity in hedge fund characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice methodology are close to zero across all common hedge fund strategies. Additionally, our data allow us to estimate the mean management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund and study characteristics. Overall, our findings indicate that, while hedge funds historically generated positive value for investors, their ability to do so has diminished substantially.

Date: 2024-04-09
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://osf.io/download/6613c7fdc053942f42b4d385/

Related works:
Working Paper: Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance (2024)
Working Paper: Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance (2024)
Working Paper: Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance (2024)
Working Paper: Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:osf:metaar:ps2yn_v1

DOI: 10.31219/osf.io/ps2yn_v1

Access Statistics for this paper

More papers in MetaArXiv from Center for Open Science
Bibliographic data for series maintained by OSF ().