Risks and portfolio decisions involving hedge funds

• 成果类型: Article
• 署名作者: Agarwal, V; Naik, NY
• 署名单位: University System of Georgia; Georgia State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg044
• 发表日期: 2004
• 页码: 63
• 关键词: performance; arbitrage; persistence; INFORMATION; strategies; management; preference; valuation; skewness; returns

摘要

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold and option-based strategies. Our results show that a large number of equity-oriented hedge fund strategies exhibit payoffs resembling a short position in a put option on the market index and therefore bear significant left-tail risk, risk that is ignored by the commonly used mean-variance framework. Using a mean-conditional value-at-risk framework, we demonstrate the extent to which the mean-variance framework underestimates the tail risk. Finally, working with the systematic risk exposures of hedge funds, we show that their recent performance appears significantly better than their long-run performance.