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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

(p.556) Chapter 17 Hedge Funds
Asset Management

Andrew Ang

Oxford University Press

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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