On the Performance of Hedge Funds
On the Performance of Hedge Funds
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论对冲基金的表现
DOI：
10.2139/ssrn.89490
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发表时间：
1998
期刊：
影响因子：
--
通讯作者：
Bing Liang
中科院分区：
文献类型：
--
作者：
Bing Liang
本文对对冲基金绩效与风险进行了研究。实证证据表明，对冲基金与共同基金等传统投资工具有很大不同。有水印的基金表现明显优于没有水印的基金。对冲基金的平均收益与激励费用、基金规模和锁定期呈正相关。对冲基金采用动态交易策略，具有较低的系统风险。不同策略之间的相关性较低。与共同基金相比，对冲基金提供了更好的风险回报权衡：它们具有更高的夏普比率，更低的市场风险和更高的异常回报。在1994年1月至1996年12月期间，对冲基金提供了正的异常回报。总体而言，对冲基金策略主导共同基金策略，因此对冲基金为投资者提供了更有效的投资机会集。
This paper investigates hedge fund performance and risk. The empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles such as mutual funds. The funds with watermarks significantly outperform the funds without watermarks. The average hedge fund returns are related positively to incentive fees, the size of the fund, and the lockup period. Hedge funds follow dynamic trading strategies and have low systematic risk. There are low correlations among different strategies. Compared with mutual funds, hedge funds offer better risk-return trade-offs: they have higher Sharpe ratios, lower market risks, and higher abnormal returns. In the period of January 1994 to December 1996, hedge funds provide positive abnormal returns. Overall, hedge fund strategies dominate mutual fund strategies, hence hedge funds provide a more efficient investment opportunity set for investors.