对冲基金投资策略英文

FacultyofEconomicsandAppliedEconomicsDEPARTMENTOFACCOUNTANCY,FINANCEANDINSURANCE(AFI)DynamicinvestmentstrategiesofhedgefundssKristienSmedtsandJanSmedtsAFI06221DynamicInvestmentStrategiesofHedgeFundsKristienSmedtsa*andJanSmedtsbaAFI,CatholicUniversityofLeuvenbCFA,DexiaBankAbstractInthispaperwestudytheinvestmentdynamicsemployedbyhedgefundmanagers.Usingdailydatafornineinvestablehedgefundstrategies,weusearolling-overregressiontechnique,whichallowsustocapturethetime-variabilitypresentinthedifferentstrategiesofhedgefundmanagers.Theresultsindicatethattheinclusionoftime-variabilityisimportantastheriskexposureschangesignificantlyovertime.Ourresultsshownoevidenceoftraditionalalphaout-performancewithinamultifactorframework.Giventhisinabilitytogenerateconsistentalphareturns,wealsoanalyzetheperformancedatarelativetothefactorspecificbetarisk.Tothisend,wereplicatestatichedgefundreturnsandcomparethemtotheactualhedgefundreturns.Weconcludethatmosthedgefundreturnsbeatthereplicatedstatictradingstrategy.Thissuggeststhatparticularhedgefundsaddalphareturnthroughtheskilloftimingalternativebetarisk.Keywords:Hedgefunds,multifactormodel,abnormalreturnsJEL:G12,G29*Addressofcorrespondence:AFI,CatholicUniversityofLeuven,Naamsestraat69,3000Leuven,[e-mail],Tel:[phone],Fax:[phone].WethanktheeditoroftheFinancialAnalystjournal,ananonymousrefereeandStanBeckersforinsightfulcommentsandsuggestions.21IntroductionHedgefundsareexpectedtogainfurthergroundversustraditionallong-onlyfundsandtobecomemainstreaminvestmentvehiclesintheyearstocome.Muchoftheirprominencehasbeenlinkedtotheircapacitytogenerateactive–oralphareturns–versusthepredominantlybetainspiredreturnsoftheirtraditionalcolleagues.However,itseemsthatsomeofthemystiquesurroundingtheperformancewondershasbeenduetotheinabilityoftheindustrytodiscerntruealphagenerationfromexposuretoalternativebetas.Althoughexposuretothelattercanbebeneficialbothintermsofreturnpotentialaswellasfromtheviewpointofdiversification,itcouldbethatinvestorscangainmorecosteffectiveexposurethroughotherways.Traditionally,performanceevaluationfortheseskill-basedstrategieshasbeenproblematic,mainlydrivenbythelackofconsistentperformancedata.Forareviewofthedifferentdifficulties,werefertoIneichen(2002).Separatingbetariskexposurefromalphareturnisahazardousexercisegiventhewiderangeofinstrumentsandstrategiesemployedbyhedgefunds.Hedgefundmanagersswitchbetweenassetclasses,holdlongaswellasshortpositions,useleverageandusederivativesresultinginhighlynon-linearpayoffstructures.Hence,amultifactormodelisthemostobviousmethodtoestimatehedgefundreturns.Anumberofpreviousstudiesanalyzedavarietyofriskexposuresofhedgefunds.Amongothers,FungandHsieh(2002)adoptanasset-classmultifactormodelinthespiritofthestyleanalysisofSharpe(1992).EdwardsandCaglayan(2001),ontheotherhand,employtheFama-Frenchstyleriskfactors.Afurtherpropertyofhedgefundsisthattheyhaveatendencytochangeriskexposuresmoreoftenthantraditionalfunds.Giventhefewinvestmentrestrictionsandregulations,hedgefundmanagersareabletoshifttheirexposuresrapidlyinresponsetoachangeintherisk-returntradeoffoftheunderlyinginvestmentopportunities.Toenhancetheunderstandingandassessmentofthisrisk-returntradeoffinhedgefunds,weanalyzethedynamicsofhedgefunds'riskexposuresthroughtime.Theimportanceofsuchtime-varyingriskexposuresisalsostudiedinAlexanderandDimitriu(2005),whousearegimeswitchingmodelforhedgefundreturns.Weemployamultifactormodelandestimatetheriskexposuresforfixedrolling-overwindows.Thisanalysiscapturesthetime-variationinmostinvestmentstrategies.Moreover,italsorevealsanyhiddenriskexposures.AsimilaranalysishasbeenconductedbyMcGuireetal.3(2005)whoemployarolling-overestimationofSharpe’sstyleanalysisonmonthlyhedgefundreturns.Incontrasttotheirstudy,weusedailyinvestablehedgefundreturndata.Giventhepossibilityoffrequentchangesintheinvestmentapproach,highfrequencydatashouldbettercapturethistime-variationandnon-linearity.Moreover,wecanexpectthattheinvestabilityofthedailyhedgefundindicesintroducesaparticular(liquidity-induced)risk-returntradeoffinthedatathatisnotpresentintheriskreturnprofileofmonthlydata.Inasecondstep,weanalyzetowhatextentwecanreplicate(out-of-sample)thehedgefundreturnseries.AsnotedbyAsness(2004a)hedgefundstrategieshaveatendencytomoveovertimefromalphatosystematicbetatradingstrategies.Byexploitingarbitrageopportunities,themarketbecomesmoreefficientandalphareturnsquicklydisappear.Moreover,onceastrategybecomescommonandwidespread,itscorrespondingreturnismorelikelyabetareturnandthusarewardfortakingupthiscommonsystematicrisk.Inacompetitivemarket,suchbetareturncansurviveasariskpremium,whiletruealphadisappearsovertime.1Thisisexactlywhatthecurrenthedgefundbusinessisexperiencing.Alphastrategiesthatbecomemainstream,suchasconvertiblearbitrage,nolongergeneratesufficientarbitrageprofitssomanagerstendtotakemoredirectionalalternativebetaexposure.However,thisdoesnotimplythatthereisnomorescopeforout-performance.Asecondsourceofalphareturn,namelythetimingof(alternative)betaexposure,