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Decomposing Hedge Fund Returns: What Hedge Funds
Got Right for the Past 20 Years

Haim A. Mozes
The Journal of Investing Fall 2013, 22 (3) 9-20; DOI: https://doi.org/10.3905/joi.2013.22.3.009
Haim A. Mozes
is a senior quantitative consultant at Spring Mountain Capital, LP, and an associate professor of accounting at Fordham University Graduate School of Business in New York, NY.
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  • For correspondence: hm@smcinvest.com
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Abstract

This article identifies three drivers of hedge funds’ strong risk-adjusted returns over the past 20 year. First, hedge funds had a number of factor exposures which generated positive returns but did not increase overall portfolio risk, due to how these factors correlated with other exposures. Second, hedge funds timed several of their risk exposures very sensibly. Third, hedge funds used their superior funding ability to exploit opportunities that offered positive expected returns but below that of the risk-free rate. Most investors ignore these opportunities due to the high opportunity cost, but hedge fund managers, who have superior ability to fund cheaply (e.g., Fung and Hsieh [2011]), do not.

TOPICS: Real assets/alternative investments/private equity, performance measurement

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The Journal of Investing: 22 (3)
The Journal of Investing
Vol. 22, Issue 3
Fall 2013
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Decomposing Hedge Fund Returns: What Hedge Funds
Got Right for the Past 20 Years
Haim A. Mozes
The Journal of Investing Aug 2013, 22 (3) 9-20; DOI: 10.3905/joi.2013.22.3.009

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Decomposing Hedge Fund Returns: What Hedge Funds
Got Right for the Past 20 Years
Haim A. Mozes
The Journal of Investing Aug 2013, 22 (3) 9-20; DOI: 10.3905/joi.2013.22.3.009
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  • Article
    • Abstract
    • MODELING HEDGE FUND RETURNS
    • DATA DEFINITIONS AND SOURCES
    • ANALYSIS OF HEDGE FUND RETURNS
    • HEDGE FUND OUTPERFORMANCE
    • RECENT FACTOR TRENDS AND IMPLICATIONS FOR HEDGE FUNDS
    • SUMMARY AND CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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