We develop a novel approach to separate alpha and beta under model misspecification. It comes with formal tests to identify less misspecified models and sharpen the return decomposition of individual funds. Our hedge fund analysis reveals that: (i) prominent models are as misspecified as the CAPM, (ii) several factors (time-series momentum, variance, carry) capture alternative strategies and lower performance in all investment categories, (iii) fund heterogeneity in alpha and beta is large—an important result for fund selection and models of active management, (iv) performance is increasingly similar to mutual funds, (v) fund valuation is sensitive to investor sophistication.

中文翻译：

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是阿尔法还是贝塔？当模型指定错误时分解对冲基金回报

我们开发了一种新颖的方法来在模型错误指定的情况下分离 alpha 和 beta。它配备了正式的测试，以识别较少错误指定的模型并加强个别基金的回报分解。我们的对冲基金分析表明：(i) 著名模型与 CAPM 一样被错误指定，(ii) 多个因素（时间序列动量、方差、利差）反映了所有投资类别的替代策略和较低绩效，(iii) 基金异质性alpha 和 beta 值很大——这是基金选择和主动管理模型的重要结果，(iv) 业绩与共同基金越来越相似，(v) 基金估值对投资者的成熟度很敏感。