The ABCs of hedge funds: Alphas, betas, and costs

Roger G. Ibbotson; Peng Chen; Kevin X. Zhu

doi:10.2469/faj.v67.n1.6

The ABCs of hedge funds: Alphas, betas, and costs

Roger G. Ibbotson, Peng Chen, Kevin X. Zhu

Research output: Contribution to journal › Article › peer-review

47 Citations (Scopus)

Abstract

The authors decomposed their estimated pre-fee 1995-2009 hedge fund return of 11.13 percent into fees (3.43 percent), an alpha (3.00 percent), and a beta (4.70 percent). The year-by-year results show that alphas were positive during every year of the past decade, even during the recent financial crisis.

Original language	English
Pages (from-to)	15-25
Number of pages	11
Journal	Financial Analysts Journal
Volume	67
Issue number	1
DOIs	https://doi.org/10.2469/faj.v67.n1.6
Publication status	Published - Jan 2011
Externally published	Yes

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10.2469/faj.v67.n1.6

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abstract = "The authors decomposed their estimated pre-fee 1995-2009 hedge fund return of 11.13 percent into fees (3.43 percent), an alpha (3.00 percent), and a beta (4.70 percent). The year-by-year results show that alphas were positive during every year of the past decade, even during the recent financial crisis.",

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The ABCs of hedge funds: Alphas, betas, and costs

Abstract

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