Abstract

We examine the ability of 34 context-related variables to explain the variation in reported estimates of hedge fund performance. Using 1,019 "alphas" collected from 74 empirical studies, we identify 9 consistently important variables. We also quantify the impact of management and performance fees. Evaluated at the latest data and publication years in our sample, the best-practice alphas are negative, but their study-bootstrap confidence intervals include zero for every common hedge fund strategy. These estimates summarize evidence published through September 1, 2021, and alphas from eight later studies fall within the prediction band of the fitted time trend. Our paper helps evaluate the robustness of prior propositions on hedge fund performance and reconcile some previous seemingly contradictory findings.

Reported hedge fund alphas and the median year of the data
Fig: Reported hedge fund alphas decrease

Reference: Fan Yang, Tomas Havranek, Zuzana Irsova, and Jiri Novak (2026), "What Matters in Explaining the Variation in Hedge Fund Performance?" Charles University, Prague. Available at meta-analysis.cz/alphas.

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Headline result

Variation in hedge fund alphas: the main result is that 9 of 34 study characteristics consistently explain it, and reported alphas have fallen over time. Alphas measured net of fees are 0.44 percentage points a month lower than gross alphas. Best-practice alphas at the latest data and publication years are negative but not reliably different from zero for any common strategy: for all strategies, −0.079 percentage points a month, with a study-bootstrap 95% interval of [−0.444, 0.372], based on 1,019 estimates from 74 studies published through September 1, 2021 (Yang et al. 2026).

How to cite

Fan Yang, Tomas Havranek, Zuzana Irsova, and Jiri Novak (2026), "What Matters in Explaining the Variation in Hedge Fund Performance?" Charles University, Prague. Available at meta-analysis.cz/alphas.

BibTeX 
@misc{yang2026alphas,
  author  = {Fan Yang and Tomas Havranek and Zuzana Irsova and Jiri Novak},
  title   = {What Matters in Explaining the Variation in Hedge Fund Performance?},
  year    = {2026},
}