{"id":"W2045874612","doi":"10.1057/jdhf.2013.3","title":"The procyclicality of hedge fund alpha and beta","year":2013,"lang":"en","type":"article","venue":"Journal of Derivatives & Hedge Funds","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":21,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Ottawa","funders":"University of Ottawa","keywords":"Hedge fund; Economics; Leverage (statistics); BETA (programming language); Futures contract; Alternative beta; Alpha (finance); Monetary economics; Financial economics; Systematic risk; Econometrics; Institutional investor; Finance; Open-end fund; Corporate governance; Mathematics; Computer science","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001130349,0.0001670989,0.0002433732,0.001222897,0.0001629891,0.001400338,0.0002759768,0.0005881013,0.002639114],"category_scores_gemma":[0.02149091,0.000215461,0.0001917729,0.001297007,0.0005600343,0.001119815,0.0003950301,0.0008175003,0.0004425048],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003386781,"about_ca_system_score_gemma":0.0001923654,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001061237,"about_ca_topic_score_gemma":0.0009398503,"domain_scores_codex":[0.9997582,0.00005142864,0.00002843821,0.00005369518,0.00007421661,0.00003400357],"domain_scores_gemma":[0.9843742,0.008643579,0.004578459,0.001168538,0.0008867955,0.0003483339],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.003102412,0.0002384721,0.6795578,0.0003293063,0.000587612,0.002663842,0.001763763,0.02292837,0.01579054,0.06881972,0.01198097,0.1922373],"study_design_scores_gemma":[0.0001330613,0.0002346076,0.9369107,0.00007920977,0.0001970784,0.001940583,0.0003092148,0.02691343,0.003074608,0.02500921,0.005145286,0.00005300845],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9880731,0.001265957,0.001054427,0.000582289,0.00004400725,0.000005295968,0.0005528014,0.00003167886,0.008390497],"genre_scores_gemma":[0.9988204,0.000321421,0.0001134601,0.00002486763,0.00006413662,0.000002159238,0.0001017637,0.000006467193,0.0005451634],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.002639114,"threshold_uncertainty_score":0.0088287,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04540522846673312,"score_gpt":0.2435073702093714,"score_spread":0.1981021417426383,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}