Boost your traditional portfolio: Activate traditional asset classes with alternative investments
Boost your traditional portfolio: Activate traditional asset classes with alternative investments
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增强您的传统投资组合：通过另类投资激活传统资产类别
DOI：
10.1057/jdhf.2011.7
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Stefan Scholz
中科院分区：
文献类型：
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作者：
Andreas Jaggi;P. Jeanneret;Stefan Scholz
我们提出了一种新的方法，将对冲基金纳入传统投资组合。“替代”的概念包括通过增加专注于同一资产类别的主动对冲基金策略来激活给定资产类别中的被动传统投资策略。我们基于长期数据的分析表明，激活的资产类别在总体表现、风险调整后的表现和下行保护方面都优于被动投资。将激活的资产类别聚合到一个整体投资组合中可以提高初始投资组合的效率，而不会恶化其肥尾风险。最后，我们证明了“替代”方法的结果与优化方法相似，在这种方法中，对冲基金的投资组合被优化为一个独立的投资类别，然后添加到传统的投资组合中。这些发现验证了希望投资于对冲基金策略的机构的另一种解决方案，这种解决方案可能更接近他们的投资组合管理方法。
We propose a new methodology to include hedge funds in a traditional portfolio. The concept of ‘substitution’ consists of activating a passive traditional investment strategy in a given asset class by adding active hedge fund strategies focusing on the same asset class. Our analysis, based on long-term data, shows that activated asset classes outperform the passive investments in terms of total performance, risk-adjusted performance and downside protection. Aggregating activated asset classes into an overall portfolio improves the efficiency of the initial portfolio without deteriorating its fat tail risk. Finally, we show that the ‘substitution’ approach leads to similar results as an optimisation approach in which the hedge fund portfolio is optimised as a stand-alone investment class and then added to the traditional portfolio. These findings validate an alternative solution for institutions that want to invest in hedge fund strategies, a solution that may be closer to their approach of portfolio management.