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Determinants Of Hedge Fund Performance, Jun Duanmu

Graduate Theses and Dissertations

This dissertation consists of three essays which focus on the determinants of hedge fund performance. The first essay defines two distinct styles of active portfolio management: alpha active and beta active. I develop measures of beta activity and find ample evidence that top beta active managers deliver superior out-of-sample performance. In addition, I find that beta activity measure successfully captures the time varying nature of beta exposures that can be interpreted as the common factor driving the long term out-of-sample predictive power of both Systematic Risk and R2.

The second essay attempt to span the space of potential risk factors …