Financial Analysts Journal · VOL70,NO. 5· SEPTEMBER/OCTOBER 2014

現金流量，價格壓力和對沖基金回報

作者：Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen

摘要：作者研究資本流量如何影響對沖基金的回報率，發現在資金流動的月份中，高資本流入對沖基金的回報率跑赢了高資本流出對沖基金的回報率。這種即時反映，同時結合了反饋交易，産生了一個循環：現金流對價格形成壓力，回報率受到影響引起更多現金流變化，新産生的現金流變化又對價格造成更大壓力。這個循環強大到需要兩年的時間才可以完全恢複逆轉，這有助于對對沖基金績效的可觀測持續性。現金流量對回報率的影響有意義于績效評價：對沖基金所估計出的阿爾法有三分之一來自于資金流動。

Flows, Price Pressure, and Hedge Fund Returns

Katja Ahoniemi and Petri Jylha

ABSTRACT

The authors studied how capital flows affect hedge fund returns and found that funds with high inflows outperform funds with high outflows during the month of the flows. This immediate reaction, combined with feedback trading, gives rise to a cycle: Flows exert price pressure, this effect on returns induces more flows, and these flows cause further price pressure. The cycle is so strong that it takes two years for a full return reversal, and it contributes to the observed persistence in hedge fund performance. The impact of flows on returns has clear implications for performance evaluation: One-third of estimated hedge fund alphas are due to flows.

原文鍊接：

http://www.cfapubs.org/doi/abs/10.2469/faj.v70.n5.1

翻譯：王冰倫