This article is an examination of the stock-picking behavior of nearly 1,500 hedge funds using regulatory mandated position-level data from the SEC (Form 13F). Using data from June 1999 to December 2018, abnormal excess alpha is found on both a gross and dollar basis. Breaking the 20-year sample into two periods, the authors note a significant decline in gross alpha after the 2008 global financial crisis. In contrast, dollar alphas remain economically and statistically significant. This finding coincides with an increase in aggregate assets in the post-crisis period, suggesting asset growth may be impeding gross alphas. To test this hypothesis, the authors analyze the Best Ideas within manager portfolios. They find no significant difference between the alphas generated by managers’ Best Ideas and the rest of their portfolios, suggesting asset growth is not a significant determinant of alpha deterioration. These findings broadly contrast with prior studies conducted on mutual funds, suggesting differences in portfolio construction and incentive effects.

中文翻译：

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对冲基金行业的总阿尔法：进一步了解最佳创意

本文使用来自美国证券交易委员会的监管规定头寸级别数据（表格 13F）对近 1,500 家对冲基金的选股行为进行了研究。使用 1999 年 6 月至 2018 年 12 月的数据，在总额和美元基础上都发现了异常超额阿尔法。作者将 20 年样本分为两个时期，注意到 2008 年全球金融危机后总 alpha 显着下降。相比之下，美元阿尔法在经济和统计上仍然显着。这一发现与危机后时期总资产的增加相吻合，这表明资产增长可能会阻碍总阿尔法。为了检验这一假设，作者分析了经理投资组合中的最佳创意。他们发现经理人的最佳创意和其他投资组合产生的阿尔法值之间没有显着差异，表明资产增长不是阿尔法恶化的重要决定因素。这些发现与先前对共同基金进行的研究大相径庭，表明投资组合构建和激励效应存在差异。