A Sheep in Wolf's Clothing? A Comparative Analysis of Alternative Mutual Funds and Hedge Funds

Sammanfattning: This paper analyzes to which extent alternative mutual funds emulate hedge fund strategies and what are the performance drivers for this category of funds. We use a two-step regression process for our analysis and find that alternative mutual funds differ from hedge funds on three main fronts: they fail to generate alpha, they do not share the same factor exposures, and their returns are impacted in a different way by fund-specific features. The findings contain relevant implications for investors, who should not fall into the trap of considering the two asset classes as perfect substitutes.