Do the Best Hedge Funds Hedge?
研究发现，信息更充分的对冲基金倾向于减少对系统性风险的暴露，表现为更低的R平方值，同时这些基金具有更高的夏普比率、信息比率和阿尔法值，并收取更高费用。
We provide a simple argument that suggests that better-informed hedge funds choose to have less exposure to factor risk. Consistent with this argument, we find that hedge funds that exhibit lower R-squareds with respect to systematic factors have higher Sharpe ratios, higher information ratios, and higher alphas. They also exhibit higher manipulation-proof performance measures and charge higher fees. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.