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Essays in hedge fund and volatility risk management.

机译:对冲基金和波动率风险管理方面的论文。

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摘要

The cash VIX can hedge the short volatility risks of the S&P 500 and selected hedge fund strategies. Short volatility behavior occurs when returns are not normally distributed, but demonstrate negative skewness and excess kurtosis. It is not appropriate to use Markowitz-style mean-variance optimization and Sharpe ratios with non-normal returns to justify hedge fund allocations in an efficient portfolio. A small investment in cash VIX offsets the short volatility exposure of hedge fund and equity investments, allowing these investments to be appropriately modeled as having normally distributed returns.;VIX futures exhibit significantly lower volatility than cash VIX, with deferred months having a lower volatility than the front contract month. VIX futures have a risk premium in excess of that found in the calculation of cash VIX relative to the realized volatility of the S&P 500. The size of this risk premium is large, with the front (second) month futures underperforming cash VIX by 4% (1%) per month. While VIX futures maintain the ability to hedge higher moments exposures of short volatility investments in equity and hedge funds, the cost of using VIX futures to hedge can be prohibitively expensive.;Over 70% of the returns to single manager hedge funds can be explained by capital markets factors. After the LTCM incident in 1998, neither funds of funds or single manager returns are market neutral. After accounting for the additional layer of fees, fund of funds investments underperform investments in a portfolio of single strategy hedge fund managers.;Returns based style analysis for hedge funds starts with traditional market beta exposures, which explain over 70% of the variance in hedge fund returns from 1990 through 2009. Adding exotic beta factors and using a variable to explain leverage improves the portion of variance explained to over 81%. The addition of Credit Default Swaps (CDS) and lagged variables to explain smoothed returns increases the r-squared of the regression to over 91%. Using simple traditional market betas to evaluate hedge fund managers overstates the alpha. A unique application of CDS prices adds significant explanatory power to understanding hedge funds since 2001.
机译:现金VIX可以对冲标准普尔500指数和选定对冲基金策略的短期波动风险。当收益没有正态分布但表现出负偏度和峰度过高时,就会出现短暂的波动行为。不适合将Markowitz风格的均值方差优化和Sharpe比率与非正常收益结合使用,以证明对冲基金在有效投资组合中的分配是合理的。现金VIX的少量投资抵消了对冲基金和股票投资的短期波动性风险,从而可以将这些投资恰当地建模为具有正态分布的收益。VIX期货的波动性明显低于现金VIX,而递延月份的波动性低于现金VIX。前合约月份。相对于标普500指数的已实现波动性,VIX期货的风险溢价超过了计算现金VIX所发现的风险溢价。该风险溢价的规模很大,前(第二)月期货的表现比现金VIX低4% (1%)每月。虽然VIX期货保持了对冲股票和对冲基金短期波动性投资的较高瞬间风险的能力,但使用VIX期货对冲的成本可能会高得惊人;单身对冲基金的70%以上的收益可以解释为:资本市场因素。在1998年的LTCM事件之后,资金和单一经理人收益都不是市场中立的。在考虑了额外的费用之后,对冲基金基金投资的表现落后于单一策略对冲基金经理的投资组合。对冲基金基于收益率的风格分析始于传统的市场Beta敞口,这可以解释对冲中70%以上的差异基金从1990年到2009年的回报。添加奇异的beta因子并使用变量来解释杠杆将所解释的方差部分提高到81%以上。信用违约掉期(CDS)和滞后变量的添加可以解释平滑的收益,从而将回归的r平方提高到91%以上。使用简单的传统市场贝塔系数来评估对冲基金经理,就高估了阿尔法系数。自2001年以来,CDS价格的独特应用为理解对冲基金增加了重要的解释力。

著录项

  • 作者

    Black, Keith H.;

  • 作者单位

    Illinois Institute of Technology.;

  • 授予单位 Illinois Institute of Technology.;
  • 学科 Business Administration Management.;Economics Finance.;Business Administration Banking.
  • 学位 Ph.D.
  • 年度 2010
  • 页码 152 p.
  • 总页数 152
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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