Hedge Fund Risk Dynamics: Implications for Performance Appraisal

• 成果类型: Article
• 署名作者: Bollen, Nicolas P. B.; Whaley, Robert E.
• 署名单位: Vanderbilt University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01455.x
• 发表日期: 2009
• 页码: 985-1035
• 关键词: mutual funds; STOCK INDEX; MARKET; strategies; constancy; ALPHAS; return; time

摘要

Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's exposure to risk factors. If exposures are assumed constant when, in fact, they vary through time, estimated abnormal returns may be incorrect. We employ an optimal changepoint regression that allows risk exposures to shift, and illustrate the impact on performance appraisal using a sample of live and dead funds during the period January 1994 through December 2005.