The authors consider the dynamic market strategies of hedge funds by using the Kalman filter. There are many studies on the behavior of conditional alphas and betas of hedge funds,but the dynamics of these coefficients is studied within the traditional regression framework: The resulting conditional alphas and betas are hence for a great part arbitrary because they do not result from a dynamic optimization process. In this article, the authors try to correct this problem in part by writing transition equations for the alpha and the beta whose explanatory variables are market financial variables.The alphas of hedge fund indices appear quite difficult to control, a result in line with the market efficiency hypothesis. Besides, the betas are much more controllable, their reaction to market variables being significant.