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Hedge Fund Excess Returns Under Time-varying Beta

Ron Bird

出版	Paul Woolley Centre for Capital Market Dysfunctionality, 2010
URL	http://books.google.com.hk/books?id=LIKeAQAACAAJ&hl=&source=gbs_api

註釋

We construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, illiquidity and tail events. Prior to analysis we investigate database biases arising from voluntary self-reporting and suggest how to minimise these biases. Using a constant beta model, we find that between 1994 and 2009 the average hedge fund manager realises an excess return of 2.8 percent per annum and the average manager outperforms in eight of the hedge fund types that we examine. However, we find that almost all this added value comes from stock selection skils with only a small subsample of our universe displaying maket timing skills. These conclusions are robust to the inclusion of time-varying beta, volatility clustering and leverage effects.