Relative Alpha

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JACKWERTH, Jens Carsten, Anna SLAVUTSKAYA, 2017. Relative Alpha

@techreport{Jackwerth2017Relat-36304, title={Relative Alpha}, year={2017}, author={Jackwerth, Jens Carsten and Slavutskaya, Anna} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:contributor>Slavutskaya, Anna</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:issued>2017</dcterms:issued> <bibo:uri rdf:resource=""/> <dcterms:title>Relative Alpha</dcterms:title> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dc:creator>Slavutskaya, Anna</dc:creator> <dspace:hasBitstream rdf:resource=""/> <dc:language>eng</dc:language> <dc:rights>terms-of-use</dc:rights> <dcterms:rights rdf:resource=""/> <dcterms:isPartOf rdf:resource=""/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:date rdf:datatype="">2017-05-09T13:13:58Z</dc:date> <dcterms:available rdf:datatype="">2017-05-09T13:13:58Z</dcterms:available> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:abstract xml:lang="eng">We advocate a new measure to evaluate hedge funds - relative alpha. It links each hedge fund to a group of its peers in a straightforward, semi-parametric way. We allow for omitted factors, yet do not require knowledge of the true factor structure nor do we need to estimate any factor model. We show that relative alpha outperforms traditional, absolute alpha (e.g., based on Fung and Hsieh (2001)). Relative alpha has higher explanatory power in-sample, predicts the out-of-sample performance of hedge funds, and is more persistent. Relative alpha can also be applied successfully to mutual funds.</dcterms:abstract> <dcterms:hasPart rdf:resource=""/> <dc:creator>Jackwerth, Jens Carsten</dc:creator> </rdf:Description> </rdf:RDF>

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