Erschienen in:AFA 2009 San Francisco Meetings Paper
Umfang:
1 Online-Ressource (46 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.1107627
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 17, 2008 erstellt
Beschreibung:
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-squares with respect to systematic factors have higher Sharpe ratios, higher information ratios, charge higher fees and attract more future inflows