Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases
Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases
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对冲基金和商品基金的业绩特征：自然偏差与虚假偏差
DOI：
10.2307/2676205
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发表时间：
2000
影响因子：
3.9
通讯作者：
David Hsieh
中科院分区：
文献类型：
--
作者：
William Fung;David Hsieh;David Hsieh
摘要众所周知，投资基金样本的预计业绩存在偏差。Brown、Goetzmann、Ibbotson和Ross（1992）以共同基金为研究对象，记录了这些偏见。对冲基金的组织结构，作为私人和经常离岸的工具，使数据收集成为一项更加繁重的任务，放大了业绩衡量偏差的影响。这篇论文回顾了对冲基金中的这些偏见。我们还建议使用对冲基金的基金来衡量对冲基金的总体业绩，基于对冲基金投资者的投资经验可以用来估计对冲基金的业绩的想法。
Abstract It is well known that the pro forma performance of a sample of investment funds contains biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) using mutual funds as subjects. The organization structure of hedge funds, as private and often offshore vehicles, makes data collection a much more onerous task, amplifying the impact of performance measurement biases. Theis paper reviews these biases in hedge funds. We also propose using funds-of-hedge funds to measure aggregate hedge fund performance, based on the idea that the investment experience of hedge fund investors can be used to estimate the performance of hedge funds.