Abstract

We examine the ability of 34 variables to explain the variation in reported estimates of hedge fund performance. Using 1,019 estimates collected from 74 empirical studies, we identify 9 consistently relevant variables. We also quantify the impact of management and performance fees. Synthesizing this extensive empirical evidence, we show that when considering the fees and the variation in research designs, current performance implied by the best practice methodology is close to zero for all common hedge fund strategies. Our paper helps evaluate the robustness of prior propositions on hedge fund performance and reconcile some seemingly contradictory findings.

Trend in reported hedge fund returns
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. Reported alphas have fallen steadily over time, and they depend on which database supplied the returns, higher from CISDM and lower the more databases a study combines. Measuring alpha net of fees rather than gross costs a further 0.439 percentage points a month, and expected alphas under best practice are close to zero for all common strategies, based on 1,019 estimates from 74 studies (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},
}