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Asset ManagementA Systematic Approach to Factor Investing$
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Andrew Ang

Print publication date: 2014

Print ISBN-13: 9780199959327

Published to Oxford Scholarship Online: August 2014

DOI: 10.1093/acprof:oso/9780199959327.001.0001

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Hedge Funds

Hedge Funds

Chapter:
(p.556) Chapter 17 Hedge Funds
Source:
Asset Management
Author(s):

Andrew Ang

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199959327.003.0017

Hedge funds (HFs) are not an asset class. HF returns have large exposure to dynamic factors—especially volatility risk. After taking these nonlinear risks into account, the average HF is unlikely to add value. HF fees are high, but contrary to popular perception, only a minority of HF manager compensation comes from incentive fees.

Keywords:   survivorship bias, hedge fund performance, leverage, 2/20, lockup, factor risk, short volatility

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