The Journal of Portfolio Management Spring 2018, 44 (5) 103-112

对冲基金收益的持续性和收费意识投资组合建设

作者：Alexander Rudin（State Street Global Advisors in Stamford, CT.）

摘要：本文对股票多空和宏观/管理期货这两个核心对冲基金类别的基金经理收益率的持续性进行了实证研究。作者发现，尽管这些策略的核心风险因素贝塔系数和超额收益的波动性在一段时间内确实持续存在，但很难基于过去的结果可靠地预测一个基金的业绩优于另一个基金。作者提出了与这些实证研究结果结论一致的投资组合构建假设，并纳入了对冲基金的另一个高度持续性的特征：经理费。作者认为，建议的投资组合构建过程为机构投资者提供了几个优势：它是稳健的，因为它扎根于那些持久的对冲基金历史收益的特性，并使得积极的观点和对冲基金经理费用能够以一种透明和一致的方式将纳入投资组合决策。

Persistence of Hedge Fund Returns and Fee-Aware Portfolio Construction

Alexander Rudin（State Street Global Advisors in Stamford, CT.）

ABSTRACT

The author presents an empirical study of the persistence of manager returns for two core hedge fund categories: equity long–short and macro/managed futures. The author finds that although beta to core risk factors and volatility of excess returns were indeed persistent over time for these strategies, it appeared to be difficult to reliably predict outperformance of one fund over another based on past results. The author suggests portfolio construction assumptions that are consistent with these empirical findings and incorporate another feature of hedge fund performance that is highly persistent: manager fees. The author believes that the suggested portfolio construction process offers several advantages for institutional investors: It is robust because it is anchored in those properties of hedge fund historical returns that are persistent, and it allows incorporation of active views and hedge fund manager fees into portfolio decisions in a transparent and consistent manner.

原文链接：

http://jpm.iijournals.com/content/44/5/103

翻译：黄涛