Edwards, Franklin R.; Caglayan, Mustafa Onur - In: Journal of Futures Markets 21 (2001) 11, pp. 1003-1028
Using data on the monthly returns of hedge funds during the period January 1990 to August 1998, we estimate six‐factor Jensen alphas for individual hedge funds, employing eight different investment styles. We find that about 25% of the hedge funds earn positive excess returns and that the...