The Right Place for Alternative Betas in Hedge Fund Performance

Autor:	Mathieu Vaissié, Walter Géhin
Rok vydání:	2006
Předmět:	Fund of funds Economics and Econometrics Financial economics business.industry Global assets under management Prime brokerage Hedge fund Fund administration Open-end fund Economics Performance fee Alternative beta business health care economics and organizations Finance
Zdroj:	The Journal of Alternative Investments. 9:9-18
ISSN:	2168-8435 1520-3255
DOI:	10.3905/jai.2006.640263
Popis:	In recent months, concerns have been raised about the profitability prospects for hedge funds. This article argues that market participants9 pessimistic view of the hedge fund industry9s capacity to generate long-term returns is a direct result of their continued focus on alpha. It illustrates the importance of considering not only the exposure to the market (the traditional beta), but also other exposures (the alternative betas) to characterize alternative sources of hedge fund returns. It also revisits the capacity issue by distinguishing between market capacity and manager capacity. The results show that alternative betas are an important source of hedge fund returns that reduce the importance of alpha. The authors conclude that capacity issues do not significantly impact alpha by illustrating that alpha is generated by successful bets on numerous exposures rather than by exploiting market opportunities.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e18d95c98255f900734d7b5ee7663fba https://doi.org/10.3905/jai.2006.640263 Zobrazit plný text záznamu