Hedge fund portfolio selection with fund characteristics

被引：4
|
作者：
Joenvaara, Juha [1 ]
Kauppila, Mikko [2 ]
Kahra, Hannu [2 ]
机构：
[1] Aalto Univ, POB 11000, FI-00076 Espoo, Finland
[2] Univ Oulu, Oulu Business Sch, POB 4600, FI-90014 Oulu, Finland
来源：
JOURNAL OF BANKING & FINANCE | 2021年 / 132卷
关键词：
Hedge fund performance; Portfolio optimization; Fund characteristics; Performance predictability; Performance persistence; HIGH-WATER MARKS; PERFORMANCE PERSISTENCE; LIQUIDITY RISK; CROSS-SECTION; VOLATILITY; MANAGEMENT; DYNAMICS; RETURN;
D O I：
10.1016/j.jbankfin.2021.106232
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines hedge fund portfolio selection approaches in isolation and in the context of an investor's overall portfolio. Characteristics-based portfolios that minimize risk delivers superior out-of sample performance. For instance, a minimum variance portfolio tilting toward small funds with high alpha and strategy distinctiveness index and low systematic risk delivers an annualized Sharpe ratio of 2.03 with a maximum drawdown of 5.20%. Investors realize diversification benefits by shifting a portion of their wealth from 60 to 40 equity-bond portfolio to characteristics-based hedge fund portfolio. Investors recognize the attractiveness of characteristics-based portfolios, but do not target flows enough to erode their superior performance. (c) 2021 Elsevier B.V. All rights reserved.
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收藏
页数：17
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