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Three Essays On The Performance Evaluation Of Actively Managed Investment Funds, Qing Yan

Graduate Theses and Dissertations

This dissertation investigates the performance of hedge funds and actively managed U.S. equity mutual funds.

The first chapter examines the relation between hedge funds and the low beta anomaly. Different conditions in the mutual fund and hedge fund industries should lead to different approaches with respect to the low beta anomaly. I find that, unlike most mutual funds, the average hedge fund tends to benefit considerably from the anomaly. About 2.3% per year of apparent alpha for the average hedge fund can be attributed to the low beta anomaly rather than manager skill. Low skill managers are the most reliant …