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1、WorkingPaperTheABCsofHedgeFunds:Alphas,Betas,&CostsRogerG.Ibbotson,Ph.D.ProfessorinthePracticeofFinanceYaleSchoolofManagementChairman&CIOZebraCapitalManagement,LLC.Phone:(203)432-6021Fax:(203)432-6970PengChen,Ph.D.,CFAPresidentofIbbotsonAssociateIbbotsonAssociates22W.Was
2、hington,Chicago,IL60602Phone:(312)696-6838Fax:(312)696-6701Email:pchen@ibbotson.comKevinX.Zhu,Ph.D.SchoolofAccountingandFinanceTheHongKongPolytechnicUniversityHungHom,Kowloon,HongKongPhone:(852)2766-4072Fax:(852)25569550Email:afkzhu@inet.polyu.edu.hkMarch30,20101TheABCso
3、fHedgeFundsABSTRACTDespitetheretrenchmentofthehedgefundindustryin2008,hedgefundassetsundermanagementarecurrentlyoveroneandahalftrilliondollars.Weanalyzethepotentialbiasesinreportedhedgefundreturns,inparticularsurvivorshipbiasandbackfillbias.Wethendecomposethereturnsintot
4、hreecomponents:thesystematicmarketexposure(beta),thevalueaddedbyhedgefunds(alpha),andthehedgefundfees(costs).Weanalyzetheperformanceofauniverseofabout8,400hedgefundsfromtheTASSdatabasefromJanuary1995throughDecember2009.Ourresultsindicatethatbothsurvivorshipandbackfillbia
5、sesarepotentiallyseriousproblems.Adjustingforthesebiasesbringsthenetreturnfrom14.26%to7.63%fortheequallyweightedsample.Overtheentireperiod,thisreturnisslightlylowerthantheS&P500returnof8.04%,butincludesastatisticallysignificantpositivealpha.Weestimateapre-feereturnof11.4
6、2%,whichwesplitintoafee(3.78%),analpha(3.01%),andabetareturn(4.62%).Thepositivealphaisquiteremarkable,sincethemutualfundindustryinaggregatedoesnotproducealphanetoffees.Theyearbyyearresultsalsoshowthatalphasfromhedgefundswerepositiveduringeveryyearofthelastdecade,eventhro
7、ughtherecentfinancialcrisisof2008and2009.2TheABCsofHedgeFunds1.IntroductionHedgefundshadnegativereturnsandnetwithdrawalsduring2008.Theyearinterruptedatwodecadestreamofalmostcontinuouspositiveaggregateperformanceandassetgrowth.However,bysplittingtheaggregateandyearbyyearr
8、eturnsintoalpha,beta,andcosts,weshowthatthenetalphashavebeenpositiveineveryyearafter1998,eventhroughthe
