Do the Best Hedge Funds Hedge?

• 成果类型: Article
• 署名作者: Titman, Sheridan; Tiu, Cristian
• 署名单位: University of Texas System; University of Texas Austin; State University of New York (SUNY) System; University at Buffalo, SUNY
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq105
• 发表日期: 2011
• 页码: 123
• 关键词: SURVIVORSHIP BIAS; performance; RISK; returns; strategies; Managers; MARKET

摘要

We provide a simple argument that suggests that better-informed hedge funds choose to have less exposure to factor risk. Consistent with this argument, we find that hedge funds that exhibit lower R-squareds with respect to systematic factors have higher Sharpe ratios, higher information ratios, and higher alphas. They also exhibit higher manipulation-proof performance measures and charge higher fees.