{"title":"另类投资是一个成功的策略吗?","authors":"D. Malhotra","doi":"10.3905/jai.2023.1.193","DOIUrl":null,"url":null,"abstract":"This article evaluates the performance of alternative mutual funds (AMFs) from January 2000 to June 2022. The author discovered that monthly returns of alternative mutual funds have a high correlation with global and US stocks, and may not provide investors with diversification options. Correlation among average monthly returns of AMFs and US and global equities increased after the 2008 economic crisis and peaked during the COVID-19 induced lockdowns until the first vaccinations. For the period beginning in January 2000 and ending in July 2007, before the onset of the economic crisis, absolute performance, as measured by average monthly returns, showed that alternative mutual funds outperformed both US and worldwide stocks. Before July 2007, AMFs also outperformed US and worldwide equities in terms of risk-adjusted performance. After July 2007, AMFs lagged US stocks. During the COVID-19 induced lockdowns until the start of the first vaccinations, AMFs did not outperform US equities but they did outperform global equities in terms of risk-adjusted performance.","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":null,"pages":null},"PeriodicalIF":0.4000,"publicationDate":"2023-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Is Alternative Investment a Successful Strategy?\",\"authors\":\"D. Malhotra\",\"doi\":\"10.3905/jai.2023.1.193\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article evaluates the performance of alternative mutual funds (AMFs) from January 2000 to June 2022. The author discovered that monthly returns of alternative mutual funds have a high correlation with global and US stocks, and may not provide investors with diversification options. Correlation among average monthly returns of AMFs and US and global equities increased after the 2008 economic crisis and peaked during the COVID-19 induced lockdowns until the first vaccinations. For the period beginning in January 2000 and ending in July 2007, before the onset of the economic crisis, absolute performance, as measured by average monthly returns, showed that alternative mutual funds outperformed both US and worldwide stocks. Before July 2007, AMFs also outperformed US and worldwide equities in terms of risk-adjusted performance. After July 2007, AMFs lagged US stocks. During the COVID-19 induced lockdowns until the start of the first vaccinations, AMFs did not outperform US equities but they did outperform global equities in terms of risk-adjusted performance.\",\"PeriodicalId\":45142,\"journal\":{\"name\":\"Journal of Alternative Investments\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2023-06-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Alternative Investments\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jai.2023.1.193\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jai.2023.1.193","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
This article evaluates the performance of alternative mutual funds (AMFs) from January 2000 to June 2022. The author discovered that monthly returns of alternative mutual funds have a high correlation with global and US stocks, and may not provide investors with diversification options. Correlation among average monthly returns of AMFs and US and global equities increased after the 2008 economic crisis and peaked during the COVID-19 induced lockdowns until the first vaccinations. For the period beginning in January 2000 and ending in July 2007, before the onset of the economic crisis, absolute performance, as measured by average monthly returns, showed that alternative mutual funds outperformed both US and worldwide stocks. Before July 2007, AMFs also outperformed US and worldwide equities in terms of risk-adjusted performance. After July 2007, AMFs lagged US stocks. During the COVID-19 induced lockdowns until the start of the first vaccinations, AMFs did not outperform US equities but they did outperform global equities in terms of risk-adjusted performance.
期刊介绍:
The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices