Hedge Fund Investing: Some Quantitative Notes

Craig W. French, J. Liew
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引用次数: 1

Abstract

Five current topics in hedge fund investing are examined from a quantitative perspective. First, we argue that investors should employ multi-factor models with observable market factors when attempting to separate alpha from beta. Second, we highlight the importance of testing for positive serial correlation in hedge fund returns, and we present evidence that this problem is pervasive. Third, we examine some of the difficulties with applying academic techniques to portfolio construction, and suggest several pragmatic solutions to overcome them. Fourth, we provide evidence that manager selection may be more important than strategy allocation for hedge fund investing. Fifth, we discuss the implication of negatively skewed returns in the construction of a portfolio of hedge funds.
对冲基金投资:一些量化笔记
从定量的角度考察了对冲基金投资的五个当前主题。首先,我们认为投资者在试图分离α和β时应采用具有可观察市场因素的多因素模型。其次,我们强调了在对冲基金收益中检验正序列相关性的重要性,并提出证据表明这个问题是普遍存在的。第三,我们研究了将学术技术应用于投资组合构建的一些困难,并提出了一些实用的解决方案来克服它们。第四,我们提供的证据表明,在对冲基金投资中,经理选择可能比策略配置更重要。第五,我们讨论了负偏收益在对冲基金投资组合构建中的含义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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