Diversification Benefits of Funds of Hedge Funds
Diversification Benefits of Funds of Hedge Funds
复制标题
对冲基金基金多元化的好处
DOI：
10.3905/jai.2007.695263
复制
发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Pierre Hillion
中科院分区：
文献类型：
--
作者：
Anne;Hélène Harasty;Pierre Hillion
本文介绍了一个新的分析框架来评估对冲基金和对冲基金的基金的风险/收益概况。作为传统的时间序列均值和标准差的替代，这里使用了投资一篮子对冲基金积累的终端财富的横截面平均值和离散度。期末财富方法规避了众所周知的统计偏差，影响了参数时间序列分析，特别是对风险的低估。本文中进行的模拟表明，与传统框架相比，终端财富框架内单个对冲基金的风险要高得多。然而，这种较高的风险敞口可以通过投资对冲基金的基金来转移，对冲基金的分散收益被发现是巨大的。此外，少量的资金是分散风险的必要手段。终端财富框架应该特别适用于拥有固定投资期限和预先确定的负债的投资者，比如养老基金和保险公司
This article introduces a new analytic framework to assess the risk/return profile of hedge funds and funds of hedge funds. As alternatives to the traditional time-series mean and standard deviation, the cross-sectional average and dispersion of the terminal wealth accumulated from an investment in baskets of hedge funds are used here. The end-of-period wealth approach circumvents well-known statistical biases marring parametric time-series analysis, especially the under-estimation of risk. Simulations performed in this article indicate that the risk of single hedge funds is much higher within a terminal wealth framework as compared to the traditional framework. However, this higher risk exposure can be channeled by investing in funds of hedge funds, the diversification benefits of which are found to be substantial. In addition, a small number of funds are necessary to diversify risk away. The terminal wealth framework should be particularly relevant for investors with fixed investment horizons and predefined liabilities to meet, such as pension funds and insurance companies
影响因子：
2.8
作者：
Lo, AW
通讯作者：
Lo, AW