Journal of Financial and Quantitative Analysis, Volume 53, Issue 5, October 2018

只有在困难时期的赢家才会重复:对冲基金在不同市场环境下的持续表现

作者：Zheng Sun (University of California at Irvine, USA),

Ashley W. Wang (Board of Governors of the Federal Reserve System, USA),

Lu Zheng (University of California at Irvine, USA)

摘要：我们提供了新的证据，证明对冲基金的表现在对冲基金市场疲软后具有持续性，但在市场强劲后却并不具有持续性。具体来说，我们构建了两种绩效指标，RET_DOWN和RET_UP，这是基于对冲基金部门的整体回报率。在对风险进行调整后，在随后的一年里，最高的RET_DOWN五分之一基金的收益要比最低的五分之一基金的收益高出约7%，而更好的RET_UP五分之一基金的收益在随后的一年里却不会超过。RET_DOWN指数可以预测未来3年的基金表现，无论是赢家还是输家，以及几乎没有股票限制的基金。

Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions

Zheng Sun (University of California at Irvine, USA), Ashley W. Wang (Board of Governors of the Federal Reserve System, USA), Lu Zheng (University of California at Irvine, USA)

ABSTRACT

We provide novel evidence that hedge fund performance is persistent following weak hedge fund markets but is not persistent following strong markets. Specifically, we construct two performance measures, RET_DOWN and RET_UP, conditioned on the level of overall hedge fund sector returns. After adjusting for risks, funds in the highest RET_DOWN quintile outperform funds in the lowest quintile by approximately 7% in the subsequent year, whereas funds with better RET_UP do not outperform subsequently. The RET_DOWN measure can predict future fund performance over a horizon as long as 3 years, for both winners and losers and for funds with few share restrictions.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/only-winners-in-tough-times-repeat-hedge-fund-performance-persistence-over-different-market-conditions/34FCA944FF116A650D01DD92BB8DE4FD

翻译：阙江静