另类投资是一个成功的策略吗?

IF 0.4 Q4 BUSINESS, FINANCE
D. Malhotra
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引用次数: 0

摘要

本文评估了2000年1月至2022年6月期间另类共同基金的业绩。作者发现,另类共同基金的月回报率与全球和美国股市的相关性很高,可能无法为投资者提供多元化选择。AMF与美国和全球股市的平均月度回报率之间的相关性在2008年经济危机后有所增加,并在新冠肺炎导致的封锁期间达到峰值,直到首次接种疫苗。在2000年1月至2007年7月经济危机爆发前的这段时间里,以平均月回报率衡量的绝对表现表明,另类共同基金的表现优于美国和世界股市。在2007年7月之前,AMF在风险调整后的表现也优于美国和全球股市。2007年7月之后,AMF落后于美国股市。在新冠肺炎引发的封锁期间,直到第一次疫苗接种开始,AMF的表现并不优于美国股市,但在风险调整后的表现方面,它们确实优于全球股市。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Is Alternative Investment a Successful Strategy?
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.
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
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
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