Option-like properties in the distribution of hedge fund returns  

作　　者：Katharina DENK Ben DJERROUD Luis SECO Mohammad SHAKOURIFAR Rudi ZAGST 

机构地区：[1]Mathematical Finance,Technical University of Munich,Munich D-80333,Germany [2]Portfolio Analytics&Management,Sigma Analysis&Management Ltd.,Toronto,ON M5G1M1,Canada [3]Department of Mathematics,University of Toronto,Toronto,ON M5S1A1,Canada [4]Investments&Risk Analytics,Sigma Analysis&Management Ltd.,Toronto,ON M5G1M 1,Canada

出　　处：《Frontiers of Engineering Management》2020年第2期275-286,共12页工程管理前沿（英文版）

摘　　要：Hedge funds have recently become popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility.However,a close look at those high-performing hedge funds raises the questions on whether their performance is truly superior and whether the high management fees are justified.Incurring no alpha costs,passive hedge fund replication strategies raise the question on whether they can similarly perform by improving efficiency at reduced costs.Therefore,this study investigates two different model approaches for the equity long/short strategy,where weighted segmented linear regression models are employed and combined with two-state Markov switching models.The main finding proves a short put option structure,i.e.,short equity market volatility,with the put structure present in all market states.We obtain an evidence that the hedge fund managers decrease their short-volatility profile during turbulent markets.

关 键 词：hedge funds hedge fund index segmented linear regression models regime-switching models mimicking portfolios single factor-based hedge fund replication equity long–short strategy 

分 类 号：F83[经济管理—金融学]