Hedge Fund Investment Strategies: Unveiling the Lifecycles of Alpha Anomalies
The article explores how hedge fund investment strategies evolve over time, focusing on changes in performance indicators like alpha. The researchers analyze the behavior of different anomalies in the market, such as size, momentum, and accrual, to understand how these factors impact hedge fund success. They also discuss the importance of diversification in extending the lifecycle of a hedge fund strategy. The study provides a checklist for managing hedge fund lifecycles and offers a tear sheet for assessing alpha performance.