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

對沖基金能動态地管理系統風險嗎？

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：将系統風險管理（SRM）能力定義為可以持續降低基金系統風險的本領，我們進而發現在整個經濟周期中，對沖基金管理所進行的配置是随時間變化而變化的。當市場疲軟時，技高一籌的管理者以基金alpha和優先的市場時機選擇機會為代價，通過對不同的資産類别進行動态再配置來實現系統風險的最小化。随着市場的走強，管理者的注意力則轉移到包括連續資産組合在内的資産選擇上。之前的研究表明，低系統性風險基金的卓越表現是由于良好市場狀态下管理者高超的資産選擇能力。但投資者進行增量配置則是由于基金的卓越表現，而不是出于對管理者系統風險管理（SRM）能力的認可。

關鍵詞：對沖基金，系統風險，替代投資，相關風險

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

原文鍊接：

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

翻譯：賈夢悅