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 …. We decompose performance into traditional and exotic risk components and find that while investors chase both components …

We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept … characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice … management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund …

entrenchment motives. Design/methodology/approach: We calculate the average monthly risk-adjusted return (alpha) of each portfolio … the largest employee ownership earns 1.32% of alpha per month. Further, we provide evidence that portfolios with higher …

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing … or trading frequently can significantly enhance performance ratios. This paper derives the performance …-maximizing strategy - a variant of buy-write - and the least upper bound on such performance enhancement, thereby showing that if common …

predicts stock returns and it subsumes the effect of frictions on expected returns as expected theoretically. The sizable alpha …

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 … benefit from employing more sophisticated risk models when evaluating fund performance. …

α (“Alpha”) has symbolic importance on the investments side of finance. That is, a fundamental pillar of modern finance … theory is the risk-return relation, and traditionally alpha is taken to represent the degree of “mispricing” in asset returns …. But, such an interpretation is not always appropriate – seemingly paradoxically, for certain specific setups alpha …