Higher moment diversification benefits of hedge fund strategy allocation
Higher moment diversification benefits of hedge fund strategy allocation
复制标题
对冲基金策略配置的更高时刻多元化效益
DOI：
10.1057/jdhf.2010.2
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
M. Haglund
中科院分区：
文献类型：
--
作者：
M. Haglund
对冲基金经常被机构投资者用作降低风险的工具，以减少投资组合的波动性，创造更稳定的回报模式。通常，投资组合构建过程使用均值-方差方法，不考虑非正态回报分布。在本文中，我们使用更高的矩贝塔来检验当对冲基金加入股票投资组合时对投资组合波动性、偏度和峰度的影响。结果表明，对冲基金总体上可以降低投资组合的波动性、偏度和峰度，但不同对冲基金策略之间存在较大差异。可转换套利、股票市场中性、固定收益套利、合并套利和宏观被认为是最具吸引力的策略，包括在股票投资组合中，投资者关心较高的时刻风险，并希望限制下行风险。当考虑序列相关性时，多元化效应仍然存在，但不那么明显。
Hedge funds are often used by institutional investors as a risk reduction tool in order to decrease portfolio volatility and create more stable return patterns. Normally, the portfolio construction process utilises a mean-variance approach and does not account for non-normal return distributions. In this article, we use higher moment betas to examine the effects on portfolio volatility, skewness and kurtosis when hedge funds are added to an equity portfolio. The results show that hedge funds, in general, can lower the volatility, skewness and kurtosis of the portfolio but large variations are seen between different hedge fund strategies. Convertible Arbitrage, Equity Market Neutral, Fixed Income Arbitrage, Merger Arbitrage and Macro are identified as the most attractive strategies to include in an equity portfolio for investors who care about higher moment risks and want to limit downside risk. Positive diversification effects still exist when serial correlation is accounted for but are then less pronounced.