是阿尔法还是贝塔？对对冲基金收益进行分解，当模型被错误规范时

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-02-13 DOI:10.1016/j.jfineco.2024.103805

David Ardia , Laurent Barras , Patrick Gagliardini , Olivier Scaillet

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引用次数: 0

摘要

我们开发了一种新方法来分离模型失当情况下的阿尔法和贝塔值。该方法附带正式测试，可识别较少的失当模型，并使单个基金的收益分解更加清晰。我们的对冲基金分析显示(i)突出的模型与 CAPM 一样被错误地指定，(ii)几个因素（时间序列动量、方差、套利）捕捉了替代策略并降低了所有投资类别的绩效，(iii)阿尔法和贝塔的基金异质性很大--这对基金选择和主动管理模型来说是一个重要结果，(iv)绩效与共同基金越来越相似，(v)基金估值对投资者的复杂性很敏感。

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Is it alpha or beta? Decomposing hedge fund returns when models are misspecified

We develop a novel approach to separate alpha and beta under model misspecification. It comes with formal tests to identify less misspecified models and sharpen the return decomposition of individual funds. Our hedge fund analysis reveals that: (i) prominent models are as misspecified as the CAPM, (ii) several factors (time-series momentum, variance, carry) capture alternative strategies and lower performance in all investment categories, (iii) fund heterogeneity in alpha and beta is large—an important result for fund selection and models of active management, (iv) performance is increasingly similar to mutual funds, (v) fund valuation is sensitive to investor sophistication.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.