Review of Finance, Volume 21 Issue 4, July 2017, Pages 1767-1804

对冲基金复制：采用模型组合的方式

作者：Michael S. O’Doherty (University of Missouri), N. E. Savin (University of Iowa), Ashish Tiwari(University of Iowa)

摘要：近年来，机构投资者对跟踪对冲基金策略表现的被动投资产品的需求逐年上升，他们往往采用流动性较好的可投资资产如期权合约来复制对冲基金的收益。在实践中，线性复制的方式往往存在跟踪效果差、换手率高的缺陷。我们提出了一个模型组合的方式，其在指数化复制方法的基础上综合了一系列预先设定的因子模型的预测信息。同现存的方式相比较，综合的复制策略具有更低的跟踪误差，对应的投资组合的回撤更小，并且对交易量的要求更低。同时，对冲基金的综合复制策略也会在投资组合配置的过程中产生经济效益。

关键词：对冲基金，综合模型，模型组合，对冲基金复制

Hedge Fund Replication: A Model Combination Approach

Michael S. O’Doherty (University of Missouri), N. E. Savin (University of Iowa), Ashish Tiwari(University of Iowa)

ABSTRACT

Recent years have seen increased demand from institutional investors for passive replication products that track the performance of hedge fund strategies using liquid investable assets such as futures contracts. In practice, linear replication methods suffer from poor tracking performance and high turnover. We propose a model combination approach to index replication that pools information from a diverse set of pre-specified factor models. Compared with existing methods, the pooled clone strategies yield consistently lower tracking errors, generate less severe portfolio drawdowns, and require substantially smaller trading volume. The pooled hedge fund clones also provide economic benefits in a portfolio allocation context.

原文链接: https://academic.oup.com/rof/article-abstract/21/4/1767/2670113/Hedge-Fund-Replication-A-Model-Combination?redirectedFrom=fulltext

翻译：汪国颂