Hedge Fund Returns
Hedge Fund Returns
复制标题
对冲基金回报
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Helder P. Palaro
中科院分区：
文献类型：
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作者：
H. M. Kat;Helder P. Palaro
作者首先观察到，对冲基金的回报并不真正优于传统资产类别的回报，而主要只是不同，因此，对冲基金不再因为卓越业绩的承诺而被出售，而是越来越多地基于多元化论点。他们提出了以下关键问题：是否有可能通过机械地交易股票和债券（无论是在现金还是期货市场）来产生类似对冲基金的回报？为了回答这个问题，他们提出了一个通用程序的开发工作，该程序使我们能够设计股票指数、债券、货币和利率期货的简单交易策略，这些策略产生的回报具有与对冲基金或任何其他类型的管理基金非常相似的统计特性。
The authors start with the observation that hedge fund returns are not really superior to the returns on traditional asset classes, but primarily just different, and thus that hedge funds are no longer sold on the promise of superior performance, but more and more on the back of a diversification argument. They present the critical question as the following: Is it possible to generate hedge fund-like returns ourselves by mechanically trading stocks and bonds (either in the cash or futures markets)? To answer that question, they present work which has led to the development of a general procedure that allows us to design simple trading strategies in stock index, bond, currency, and interest rate futures that generate returns with statistical properties that are very similar to those of hedge funds, or any other type of managed fund for that matter.