We suggest a new measure to evaluate hedge funds - relative alpha. It links each hedge fund to a group of its peers in a straightforward, semi-parametric way. We allow for omitted factors, yet do not require knowledge of the true factor structure nor do we need to estimate any factor model. We...

Pension funds only explored alternative assets quite recently, prodded by financial crises which devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of...