Journal of Banking & Finance ·Volume 64, March 2016, Pages 1-15

对冲基金能动态地管理系统风险吗？

作者：Ethan Namvara (Haas School of Business, University of California), Blake Phillipsb (School of Accounting and Finance, University of Waterloo), Kuntara Pukthuanthongc (Robert Trulaske Sr. College of Business, University of Missouri), P. Raghavendra Raud (University of Cambridge, Trumpington)

摘要：将系统风险管理（SRM）能力定义为可以持续降低基金系统风险的本领，我们进而发现在整个经济周期中，对冲基金管理所进行的配置是随时间变化而变化的。当市场疲软时，技高一筹的管理者以基金alpha和优先的市场时机选择机会为代价，通过对不同的资产类别进行动态再配置来实现系统风险的最小化。随着市场的走强，管理者的注意力则转移到包括连续资产组合在内的资产选择上。之前的研究表明，低系统性风险基金的卓越表现是由于良好市场状态下管理者高超的资产选择能力。但投资者进行增量配置则是由于基金的卓越表现，而不是出于对管理者系统风险管理（SRM）能力的认可。

关键词：对冲基金，系统风险，替代投资，相关风险

Do hedge funds dynamically manage systematic risk?

Ethan Namvara (Haas School of Business, University of California), Blake Phillipsb (School of Accounting and Finance, University of Waterloo), Kuntara Pukthuanthongc (Robert Trulaske Sr. College of Business, University of Missouri), P. Raghavendra Raud (University of Cambridge, Trumpington)

ABSTRACT

Defining systematic risk management (SRM) skill as persistently low fund systematic risk, we find evidence of time varying allocation of hedge fund management effort across the business cycle. In weak market states, skilled managers focus on minimization of systematic risk via dynamic reallocations across asset classes at the cost of fund alpha and foregoing market timing opportunities. As markets strengthen, attention shifts to asset selection within consistent asset classes. The superior performance of low systematic risk funds previously documented arises due to the superior asset selection ability of managers in strong market states. Incremental allocations by investors arise due to this superior performance and not due to recognition of SRM skill.

Keywords:Hedge funds, Systematic risk, Alternative investments, Correlation risk

原文链接：

http://dx.doi.org/10.1016/j.jbankfin.2015.11.014

翻译：贾梦悦