Hedge Fund Performance and Manager Skill
利用1990年1月至1998年8月对冲基金月度回报数据，估计六因子阿尔法，发现约25%的基金获得正超额回报，且业绩存在显著持续性，高激励费用与高超额回报相关，表明经理技能可能是原因之一。
Abstract Using data on the monthly returns of hedge funds during the period January 1990 to August 1998, we estimate six‐factor Jensen alphas for individual hedge funds, employing eight different investment styles. We find that about 25% of the hedge funds earn positive excess returns and that the frequency and magnitude of funds' excess returns differ markedly with investment style. Using six‐factor alphas as a measure of performance, we also analyze performance persistence over 1‐year and 2‐year horizons and find evidence of significant persistence among both winners and losers. These findings, together with our finding that hedge funds that pay managers higher incentive fees also have higher excess returns, are consistent with the view that fund manager skill may be a partial explanation for the positive excess returns earned by hedge funds. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1003–1028, 2001