非线性对冲基金指数克隆？

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2022-06-13 DOI:10.1177/03128962221102184

Mikhail Walden, P. Lajbcygier

{"title":"非线性对冲基金指数克隆？","authors":"Mikhail Walden, P. Lajbcygier","doi":"10.1177/03128962221102184","DOIUrl":null,"url":null,"abstract":"Cloning hedge fund indexes circumvents the many challenges associated with direct hedge fund investment. Theoretically, hedge fund indexes could have nonlinear exposures to the economic risk factors that drive their returns and may require nonlinear clones. By using flexible statistical models, we enable the choice between linear and nonlinear clones. We demonstrate that for certain hedge fund styles, nonlinear index clones are crucial for high fidelity replication. Nonlinear clones both facilitate economic insights to cloning and enhance the best linear clones. JEL classification: G10, G23, C15","PeriodicalId":47209,"journal":{"name":"Australian Journal of Management","volume":"48 1","pages":"147 - 170"},"PeriodicalIF":2.0000,"publicationDate":"2022-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Nonlinear hedge fund index clones?\",\"authors\":\"Mikhail Walden, P. Lajbcygier\",\"doi\":\"10.1177/03128962221102184\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Cloning hedge fund indexes circumvents the many challenges associated with direct hedge fund investment. Theoretically, hedge fund indexes could have nonlinear exposures to the economic risk factors that drive their returns and may require nonlinear clones. By using flexible statistical models, we enable the choice between linear and nonlinear clones. We demonstrate that for certain hedge fund styles, nonlinear index clones are crucial for high fidelity replication. Nonlinear clones both facilitate economic insights to cloning and enhance the best linear clones. JEL classification: G10, G23, C15\",\"PeriodicalId\":47209,\"journal\":{\"name\":\"Australian Journal of Management\",\"volume\":\"48 1\",\"pages\":\"147 - 170\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2022-06-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Australian Journal of Management\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1177/03128962221102184\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Australian Journal of Management","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1177/03128962221102184","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS","Score":null,"Total":0}

引用次数: 0

摘要

克隆对冲基金指数规避了与直接对冲基金投资相关的许多挑战。从理论上讲，对冲基金指数可能对驱动其回报的经济风险因素有非线性敞口，可能需要非线性克隆。通过使用灵活的统计模型，我们可以在线性和非线性克隆之间进行选择。我们证明，对于某些对冲基金风格，非线性指数克隆对高保真复制至关重要。非线性克隆既促进了对克隆的经济认识，又增强了最佳线性克隆。JEL分类:G10、G23、C15

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Nonlinear hedge fund index clones?

Cloning hedge fund indexes circumvents the many challenges associated with direct hedge fund investment. Theoretically, hedge fund indexes could have nonlinear exposures to the economic risk factors that drive their returns and may require nonlinear clones. By using flexible statistical models, we enable the choice between linear and nonlinear clones. We demonstrate that for certain hedge fund styles, nonlinear index clones are crucial for high fidelity replication. Nonlinear clones both facilitate economic insights to cloning and enhance the best linear clones. JEL classification: G10, G23, C15

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.