另类UCITS基金收益的可预测性

IF 0.4 Q4 BUSINESS, FINANCE
M. Busack, W. Drobetz, Jan Tille
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引用次数: 0

摘要

作者研究了泛欧协调共同基金收益的样本外可预测性,这些基金遵循类似对冲基金的投资策略(“另类UCITS”),并允许散户投资者获得非传统投资策略。与对冲基金相比,这些基金的流动性更高,投资者可以更容易地利用相关信息,并将其用于资产配置和风险管理决策。使用大量的基础和技术变量,作者估计了单一预测模型、组合预测和多元回归模型。根据预测回报形成假想的基金的基金投资组合可以为投资者带来经济收益,尤其是在危机时期。组合方法和多元模型减少了估计的不确定性,并导致不同市场环境下的经济收益。主题:共同基金/被动投资/指数,实物资产/另类投资/私募股权,绩效评估,发达市场,统计方法
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Predictability of Alternative UCITS Fund Returns
The authors study the out-of-sample predictability of the returns of pan-European harmonized mutual funds that follow hedge fund–like investment strategies (“alternative UCITS”) and allow retail investors to gain access to nontraditional investment strategies. Given these funds’ higher liquidity compared with hedge funds, investors could exploit relevant information more easily and use it for their asset allocation and risk management decisions. Using a large set of fundamental and technical variables, the authors estimate single predictor models, combination forecasts, and multivariate regression models. Forming hypothetical funds-of-funds portfolios based on predicted returns generates economic gains for investors, especially during crisis times. Combination approaches and multivariate models reduce estimation uncertainty and lead to economic gains across different market environments. TOPICS: Mutual funds/passive investing/indexing, real assets/alternative investments/private equity, performance measurement, developed markets, statistical methods
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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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