PROFIT SHARING IN HEDGE FUNDS
PROFIT SHARING IN HEDGE FUNDS
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DOI：
10.2139/ssrn.1929174
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发表时间：
2016-06
影响因子：
1.6
通讯作者：
X. He;S. Kou
中科院分区：
文献类型：
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作者：
X. He;S. Kou
在一个新的对冲基金管理补偿计划中，被称为第一损失计划，基金经理首先使用她在基金中的投资来弥补任何基金损失;本文提出了一个基于累积前景理论的框架，计算和比较了投资者的交易策略、基金风险以及管理者和投资者在这两种方案中的效用。该模型根据美国对冲基金的历史损耗率进行校准。研究发现，在合理的参数取值下，用首亏方案（10%的首亏资本和30%的业绩报酬）代替传统的10%的内部资本和20%的业绩报酬方案，可以提高基金经理和投资者的效用，同时降低基金风险。然而，当首次亏损计划中的业绩费为40%（当前的市场惯例）时，这种替代会使投资者的情况更糟。
In a new scheme for hedge fund managerial compensation known as the first‐loss scheme, a fund manager uses her investment in the fund to cover any fund losses first; by contrast, in the traditional scheme currently used in most US funds, the manager does not cover investors' losses in the fund. We propose a framework based on cumulative prospect theory to compute and compare the trading strategies, fund risk, and managers' and investors' utilities in these two schemes analytically. The model is calibrated to the historical attrition rates of US hedge funds. We find that with reasonable parameter values, both fund managers' and investors' utilities can be improved and fund risk can be reduced simultaneously by replacing the traditional scheme (with 10% internal capital and 20% performance fee) with a first‐loss scheme (with 10% first‐loss capital and 30% performance fee). When the performance fee in the first‐loss scheme is 40% (a current market practice), however, such substitution renders investors worse off.