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《工程管理前沿(英文)》 >> 2020年 第7卷 第2期 doi: 10.1007/s42524-020-0095-3

Option-like properties in the distribution of hedge fund returns

. Mathematical Finance, Technical University of Munich, Munich D-80333, Germany.. Portfolio Analytics & Management, Sigma Analysis & Management Ltd., Toronto, ON M5G1M1, Canada.. Department of Mathematics, University of Toronto, Toronto, ON M5S1A1, Canada.. Investments & Risk Analytics, Sigma Analysis & Management Ltd., Toronto, ON M5G1M1, Canada

录用日期: 2020-03-24 发布日期: 2020-03-24

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摘要

Hedge funds have recently become popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility. However, a close look at those high-performing hedge funds raises the questions on whether their performance is truly superior and whether the high management fees are justified. Incurring no alpha costs, passive hedge fund replication strategies raise the question on whether they can similarly perform by improving efficiency at reduced costs. Therefore, this study investigates two different model approaches for the equity long/short strategy, where weighted segmented linear regression models are employed and combined with two-state Markov switching models. The main finding proves a short put option structure, i.e., short equity market volatility, with the put structure present in all market states. We obtain an evidence that the hedge fund managers decrease their short-volatility profile during turbulent markets.

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