Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds

• 成果类型: Article
• 署名作者: Karehnke, Paul; de Roon, Frans
• 署名单位: heSam Universite; ESCP Business School; Tilburg University; Tilburg University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3429
• 发表日期: 2020
• 关键词: HEDGE FUNDS; Mutual funds; writing options; Performance evaluation; mean-variance-skewness spanning; prudence; portfolio choice

摘要

We draw on the skewness literature to propose regression-based performance evaluation tests designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean-variance-skewness investors and can better account for nonlinearities in returns than option-based factor models. Applied to mutual and hedge funds, our tests usually suggest selecting different funds than standard tests and find that a significant fraction (11%) of hedge funds adds value to investors, whereas this is an insignificant 4% for mutual funds. We also analyze the economic significance of these option-like returns and their out-of-sample persistence.