Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
Explore a groundbreaking approach to separating alpha and beta in hedge fund returns under model misspecification in this 39-minute seminar presented by David Ardia from HEC Montréal. Delve into formal tests designed to identify less misspecified models and refine the return decomposition of individual funds. Discover key findings from hedge fund analysis, including the misspecification of prominent models, the impact of factors like time-series momentum and variance on alternative strategies, and the significant heterogeneity in alpha and beta across funds. Examine the increasing similarity between hedge fund and mutual fund performance, and understand how fund valuation is influenced by investor sophistication. Gain valuable insights for fund selection and active management models in this GERAD Research Center presentation.