IDEAS home Printed from https://ideas.repec.org/p/fau/wpaper/wp2024_15.html
   My bibliography  Save this paper

Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance

Author

Listed:
  • Fan Yang

    (Charles University, Prague)

  • Tomas Havranek

    (Charles University, Prague & Centre for Economic Policy Research, London & Meta-Research Innovation Center, Stanford)

  • Zuzana Irsova

    (Charles University, Prague)

  • Jiri Novak

    (Charles University, Prague)

Abstract

We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the “alphas†) collected from 74 studies, we document a strong downward trend in the reported alphas. The trend persists even after controlling for heterogeneity in hedge fund characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice methodology are close to zero across all common hedge fund strategies. Additionally, our data allow us to estimate the mean management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund and study characteristics. Overall, our findings indicate that, while hedge funds historically generated positive value for investors, their ability to do so has diminished substantially.

Suggested Citation

  • Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," Working Papers IES 2024/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2024.
    • Handle: RePEc:fau:wpaper:wp2024_15
    as

    Download full text from publisher

    File URL: https://ies.fsv.cuni.cz/en/where-have-all-alphas-gone-meta-analysis-hedge-fund-performance
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    hedge funds; alpha; fees; meta-analysis; model uncertainty;
    All these keywords.

    JEL classification:

    • J23 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Demand
    • J24 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Human Capital; Skills; Occupational Choice; Labor Productivity
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2024_15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.