Capacity Constraints and Hedge Fund Strategy Returns
研究1995至2004年间对冲基金策略的容量约束是否导致超额收益（alpha）下降，发现八种策略中有四种的资金流入先于alpha下降，支持理性模型。
Abstract Hedge funds have generated significant absolute returns (alpha) in the decade between 1995 and 2004. However, the level of alpha has declined substantially over this period. We investigate whether capacity constraints at the level of hedge fund strategies have been responsible for this decline. For four out of eight hedge fund strategies, capital inflows have statistically preceded negative movements in alpha, consistent with this hypothesis. We also find evidence that hedge fund fees have increased over the same period. Our results provide support for the Berk and Green (2004) rational model of active portfolio management.