The Gross Truth About Hedge Fund Performance and Risk: The Impact of Incentive Fees
The Gross Truth About Hedge Fund Performance and Risk: The Impact of Incentive Fees
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对冲基金业绩和风险的总体真相：激励费用的影响
DOI：
10.2139/ssrn.1031096
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
Nick Motson
中科院分区：
文献类型：
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作者：
Chris Brooks;A. Clare;Nick Motson
因子模型经常被应用于对冲基金的回报，试图将回报从确定的风险因素（beta）和经理技能（alpha）中分离出来。最近，同样的技术被用于复制对冲基金策略的回报，并取得了不同程度的成功。在本文中，我们表明，由于对冲基金激励合同的特殊性质，使用净费用回报可能导致对因素敞口的估计有相当大的偏差，从而扭曲基金经理绩效的图景。我们提出的解决方案是将对冲基金的总收益和激励费用独立建模，这样可以更真实地表示潜在的收益产生过程。使用一个大的对冲基金样本，我们量化了这种偏差对业绩归因和复制的影响。我们发现，使用净费用回报低估了每年可归因于beta的回报高达58个基点。由此我们发现，一些额外的贝塔风险敞口可以通过基于总回报而不是净回报的复制来捕捉。我们还调查了基金经理的风险承担行为，条件是他们的激励期权的delta，发现与之前的研究相反，似乎有证据表明，那些发现自己明显低于他们的高水位的经理的风险承担增加。
Factor models are frequently applied to hedge fund returns in an attempt to separate the return from identified risk factors (beta) and from manager skill (alpha). More recently, these same techniques have been used to replicate the returns from hedge fund strategies with varying degrees of success. In this paper, we show that due to the particular nature of hedge fund incentive contracts, the use of net of fee returns can lead to considerably biased estimates of factor exposures which can distort the picture of fund manager performance. The solution we propose is to model the gross returns of hedge funds and the incentive fees independently, which gives a truer representation of the underlying return generating process. Using a large sample of hedge funds, we quantify the effect of this bias on both performance attribution and replication. We find that using net of fee returns understates the return attributable to beta by up to 58 basis points per annum. Following from this we find that some of the additional beta exposure can be captured by basing replication on gross rather than net returns. We also investigate the risk taking behaviour of fund managers conditional upon the delta of their incentive option and find that contrary to previous studies, there does appear to be evidence of increased risk taking for those managers who find themselves significantly below their high water mark.