Beta Active Hedge Fund Management
研究对冲基金随时间变化的风险因子暴露是否预示优异表现，构建贝塔积极指标（BA）发现，顶尖贝塔积极经理人比顶尖阿尔法积极经理人带来更优的长期样本外表现。
We reconsider whether hedge funds’ time-varying risk factor exposures are predictive of superior performance. We construct an overall measure (BA) of fund managers and present evidence that top beta active managers deliver superior long-term out-of-sample performance compared to top alpha active managers. BA captures the time-varying nature of beta exposures and can be interpreted as a common factor of both systematic risk (SR) and (1 - R 2 ) measures. BA also compares favorably to extant measures of market timing, capturing the explanatory power of such measures of hedge fund performance.