-diversified portfolios. Alpha is defined as the difference between, on the one hand, the average return on a mean-variance efficient …), where both portfolios carry the same risk. Alpha is conditioned on this risk level. Outlier-robust mean-variance efficient … 1995 and December 2005, the broad Credit Suisse/Tremont hedge index did not deliver statistically significant alpha. …

CAPM alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors … pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks …

Hedge fund flows chase alpha, yet they also follow returns attributable to traditional and exotic risk exposures … being more likely to emphasize returns arising from exotic risks. Although we find strong evidence of persistence for alpha …