RT Journal Article
SR Electronic
T1 Decomposing Hedge Fund Returns: <em>What Hedge Funds</em>
               <br/>
               <em>Got Right for the Past 20 Years</em>
JF The Journal of Investing
FD Institutional Investor Journals
SP 9
OP 20
DO 10.3905/joi.2013.22.3.009
VO 22
IS 3
A1 Haim A. Mozes
YR 2013
UL https://pm-research.com/content/22/3/9.abstract
AB 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