Generalized Runs Tests to Detect Randomness in Hedge Funds Returns
Generalized Runs Tests to Detect Randomness in Hedge Funds Returns
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DOI：
10.1016/j.jbankfin.2014.07.011
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发表时间：
2015-08
影响因子：
3.7
通讯作者：
Rania Hentati-Kaffel;Philippe de Peretti
中科院分区：
文献类型：
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作者：
Rania Hentati-Kaffel;Philippe de Peretti
本文的主要贡献是利用广义游程检验（Cho and白色，2011）分析了对冲基金绝对收益和相对收益的随机性，即缺乏持续性。我们发现，在2000年至2012年期间，大约42%的HFR宇宙表现出iid绝对回报。这些基金主要在宏观和股票对冲策略中按比例存在。类似的结果也适用于相对回报。我们还发现，具有非iid回报的基金往往表现出波动效应和结构性突变，最大的突变发生在金融危机期间。此外，只有一小部分人在相对表现上表现出持久性，占总人数的8.2%至16.7%，主要是在相对价值和事件驱动策略中发现的。结果的稳健性受到了在无危机时期进行测试的挑战。对于绝对收益，我们发现了类似的结果。对于相对的，不同的策略和基准出现差异，但仍然存在两个突破和突破。我们的工作有助于对冲基金文献的方法，投资组合配置和业绩衡量。
The major contribution of this paper is to make use of generalized runs tests (Cho and White, 2011) to analyze the randomness, i.e. the lack of persistence, in both absolute and relative returns of hedge funds. We find that about 42% of the HFR universe exhibit iid absolute returns over the period spanning 2000 to 2012. These funds are mainly found in proportions within the Macro and Equity Hedge strategies. A similar result holds for relative returns. We also find that funds having non-iid returns often exhibit ARCH effects and structural breaks, with largest breaks located within financial crises. Also, only a small percentage displays persistence in their relative performance, 8.2% to 16.7% of the universe, mainly found in proportions within the Relative Value and Event-Driven strategies. The robustness of results is challenged by implementing the tests on a crisis-free period. We find similar results for absolute returns. For relative ones, differences appear across strategies and benchmarks, but still both ARCH and breaks are present. Our work contributes to the hedge fund literature in terms of methodology, portfolio allocation, and performance measurement.