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  1. Hedge fund performance under misspecified models
    Autor*in: Ardia, David; Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
    Erschienen: 2020
    Verlag:  Swiss Finance Institute, Geneva

    We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
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    We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in previous work omit similar factors because they (i) perform exactly like the CAPM, and (ii) produce large and positive alphas. In contrast, we observe a large and statistically significant decrease in performance with a new model formed with alternative factors that capture variance, correlation, liquidity, betting-against-beta, carry, and time-series momentum strategies. Overall, the results suggest that the average returns of hedge funds are largely explained by mechanical trading strategies

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: This version: July 27, 2020
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 20, 82
    Swiss Finance Institute Research Paper ; No. 20-82
    Schlagworte: Hedge funds; performance; model misspecification; large panel
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 48 Seiten)
  2. Dynamic indexing and allocation
    do they dominate simple static indexing?
    Autor*in: McCarthy, Joseph E.; Tower, Edward
    Erschienen: September 13, 2020
    Verlag:  Economic Research Initiatives @ Duke (ERID), Durham, NC

    Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. Another... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. Another dynamic investment is GMO’s Benchmark Free Allocation fund. We assess the role for dynamic investing with the AlphaSimplex funds and the GMO fund. The dynamic funds have higher expense ratios and turnover than static index funds do. Do the strategies of these funds add value, and if so is dynamic investing magical enough to overcome these hurdles? Do dynamic investments dominate a simple portfolio of static index funds with similar style rebalanced regularly whether risk adjusted or not and with or without differential expenses stripped away? We also clarify the interpretation of the Fama-French multi-factor models, generalize them, and discover the equivalence between the Fama-French and Sharpe (1992) approaches to mutual fund assessment. On average AphaSimplex funds underreturn portfolios of Vanguard index funds with the same style by 2.54 % age points per year. Some of that is because of expense ratios. Gross of expense ratios the average underreturn is 1.51 % age points/year

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    Schriftenreihe: ERID working paper ; number 300
    Schlagworte: Mutual funds; index investing; dynamic indexing; alpha
    Umfang: 1 Online-Ressource (circa 23 Seiten)