The tactical and strategic value of hedge fund strategies: a cointegration approach
The tactical and strategic value of hedge fund strategies: a cointegration approach
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对冲基金策略的战术和战略价值：协整方法
DOI：
10.1007/s11408-007-0060-8
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发表时间：
2007
影响因子：
1.9
通讯作者：
Dieter G. Kaiser
中科院分区：
文献类型：
--
作者：
Roland Füss;Dieter G. Kaiser
本文使用多元协整方法分析了对冲基金策略与传统资产类别之间的长期联动性。由于协整资产从长远来看是捆绑在一起的，因此由这些资产组成的投资组合将具有较低的长期波动性。因此，如果协整的存在降低了不确定性，规避风险的投资者应该更喜欢协整的资产。长期（被动）投资者可以从协整关系的知识中受益，而内置的纠错机制允许主动资产管理者预测短期价格变动。实证结果表明，特定的对冲基金策略与传统金融资产之间存在长期关系。因此，不同对冲基金策略的收益远低于相关性分析和投资组合优化所建议的收益。然而，某些策略与特定的股票市场相结合，为投资组合经理提供了足够的多元化潜力，特别是在战术资产配置的框架中。
This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships, while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets. Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization. However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification potential, especially in the framework of tactical asset allocation.