Excerpt from AllAboutAlpha:
Q4: Your “ABCs of Hedge Funds: Alphas, Betas, and Costs” has been a popular research paper on AllAboutAlpha.com. Have you updated it? Have you changed your views?
Peng Chen, Kevin Zhu, and I are in the midst of updating the results. The preliminary results show that hedge fund alphas are still positive, although not as high or significant as before. The results also show that the majority of the returns can be classified as beta, then fees, then net alpha, in that order. Despite the fact that alpha makes up the minority of the return, it is still noteworthy that the net alphas are positive. This is in contrast to the mutual fund industry where there is little evidence of aggregate positive alpha, even on a gross level. On a net level, aggregate mutual fund alpha is usually negative.
