Hedge fund replication strategies: implications for investors and regulators
Hedge fund replication strategies: implications for investors and regulators
复制标题
对冲基金复制策略：对投资者和监管机构的影响
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
David Hsieh
中科院分区：
文献类型：
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作者：
W. Fung;David Hsieh
在过去的十年里，学术研究已经确定了一些复制策略，这些策略能够获得许多流行对冲基金策略平均回报的40%至80%。投资者开始注意到这些复制策略，特别是因为它们基于规则的透明特征，以及它们可以以低成本执行的事实。有了这种获取被动对冲基金回报的替代方式，投资者可以有效地构建激励费合同，以奖励基于技能的回报（即，备选α）不同于被动的类似指数的回报（即，备选β）。这可能会提高新基金进入该行业的门槛，因为对冲基金经理必须证明自己的技能，才能参与利润分享。这应该会降低对冲基金经理的羊群效应风险，否则他们可能会受到激励费合同的诱惑，这些合同奖励他们进行受欢迎的因子押注。
Over the past decade, academic research has identified a number of replication strategies capable of capturing between 40% to 80% of the average return of many popular hedge fund strategies. Investors are beginning to take notice of these replication strategies, especially because of their rule based, transparent features and the fact that they can be executed at low cost. Armed with this alternative way of accessing passive hedge fund returns, investors can effectively structure incentive fee contracts to reward skill-based returns (i.e., alternative alpha) differently from passive index-liked returns (i.e., alternative beta). This can raise the barrier to entry for new funds to the industry in that hedge fund managers must demonstrate skill in order to participate in profi t sharing. This should reduce the risk of herding by hedge fund managers who may otherwise be enticed by incentive fee contracts that rewards them for taking popular factor bets.