Ammann, Manuel; Huber, Otto; Schmid, Markus M. - 2009
This paper investigates the alpha generation of the hedge fund industry based on a recent sample compiled from the … Lipper/TASS database covering the time period from January 1994 to September 2008. We find a positive average hedge fund … contrast to prior research, we find no evidence of a decreasing hedge fund alpha over time. Moreover, based on our sample, we …