How Smart Are the Smart Guys? A Unique View from Hedge Fund Stock Holdings
比较对冲基金与共同基金的选股能力，发现对冲基金每年仅多赚1.32%，且结果不稳健，质疑其被夸大的高超技能。
Compared to mutual funds, hedge funds prefer smaller, opaque value securities, and have higher turnover and more active share bets. Decomposing returns into three components, we find that hedge funds are better than mutual funds at stock picking by only 1.32% per year on a value-weighted basis, and this result is insignificant on an equal-weighted basis or with price-to-sales benchmarks. Hedge funds exhibit no ability to time sectors or pick better stock styles. Surprisingly, we find only weak evidence of differential ability between hedge funds. Overall, our study raises serious questions about the perceived superior skill of hedge fund managers.