Journal of Financial and Quantitative Analysis · Volume 52, Issue 3 June 2017, pp. 1081-1109

对冲基金：好基金、坏基金与幸运基金

作者：Yong Chen (Texas A&M University), Michael Cliff (Analysis Group), Haibei Zhao (Lehigh University)

摘要：我们基于修正的期望最大化（EM）算法和与技能组相关联的混合正态分布，提出了一种估计方法用以评估对冲基金的表现。通过允许运气影响熟练技能和非熟练技能基金，我们估计了熟练技能基金的组数、其每组占比，以及每组中技能的平均值和方差。对于每个单独的基金，我们提出一种将基金的估计alpha与基金技能的横截面分布相结合的绩效指标。在样本外的测试中，使用该绩效指标的投资策略胜过使用估计的alpha和t统计量的投资策略。

Hedge Funds: The Good, the Bad, and the Lucky

Yong Chen (Texas A&M University), Michael Cliff (Analysis Group), Haibei Zhao (Lehigh University)

ABSTRACT

We develop an estimation approach based on a modified expectation-maximization (EM) algorithm and a mixture of normal distributions associated with skill groups to assess performance in hedge funds. By allowing luck to affect both skilled and unskilled funds, we estimate the number of skill groups, the fraction of funds from each group, and the mean and variability of skill within each group. For each individual fund, we propose a performance measure combining the fund’s estimated alpha with the cross-sectional distribution of fund skill. In out-of-sample tests, an investment strategy using our performance measure outperforms those using estimated alpha and t-statistic.

原文链接：

https://doi.org/10.1017/S0022109017000217

翻译：陈然