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...

We consider the problem of aggregating dependent risks in the presence of partial dependence information. More concretely, we assume that the risks involved belong to independent subgroups and the dependence structure within each group is unknown. We show that a sharp convex upper bound exists...