Can Hedge-Fund Returns Be Replicated?: The Linear Case
Can Hedge-Fund Returns Be Replicated?: The Linear Case
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对冲基金回报可以复制吗？：线性案例
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
A. Lo
中科院分区：
文献类型：
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作者：
Jasmina Hasanhodzic;A. Lo
与股票和债券等传统投资不同，对冲基金的回报具有更复杂的风险敞口，从而产生额外的和互补的风险溢价来源。这增加了利用流动性较强的交易所交易工具创建被动复制投资组合或“克隆”的可能性，这些工具以更低的成本和更高的透明度提供类似的风险敞口。通过使用TASS数据库中1610只对冲基金1986-2005年的月度收益数据，我们使用六个公共因素估计了单个对冲基金的线性因素模型，并测量了基金预期收益和波动性在这些因素中所占的比例。对于某些对冲基金风格的类别，我们发现，这两者中的相当大一部分可以被与流动性交易所交易工具相对应的共同因素所捕获。虽然线性克隆基金的表现往往不如对冲基金同行，但它们的表现足够好，值得认真考虑，作为对冲基金的被动、透明、可扩展和低成本的替代品。
In contrast to traditional investments such as stocks and bonds, hedge-fund returns have more complex risk exposures that yield additional and complementary sources of risk premia. This raises the possibility of creating passive replicating portfolios or “clones” using liquid exchange-traded instruments that provide similar risk exposures at lower cost and with greater transparency. By using monthly returns data for 1610 hedge funds in the TASS database from 1986 to 2005, we estimate linear factor models for individual hedge funds using six common factors, and measure the proportion of the funds’ expected returns and volatility that are attributable to such factors. For certain hedge-fund style categories, we find that a significant fraction of both can be captured by common factors corresponding to liquid exchange-traded instruments. While the performance of linear clones is often inferior to their hedge-fund counterparts, they perform well enough to warrant serious consideration as passive, transparent, scalable, and lower-cost alternatives to hedge funds.