کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1024210 1483048 2015 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Can hedge fund elites consistently beat the benchmark? A study of portfolio optimization
ترجمه فارسی عنوان
آیا نخبگان صندوق سرمایه گذاری تامینی می توانند به طور مداوم الگوبرداری را ضرب کنند؟ مطالعه بهینه سازی نمونه کارها
کلمات کلیدی
صندوق های تامینی؛ آزمون گام به گام SPA ؛ GA؛ PGSL؛ تداوم عملکرد
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار، مدیریت و حسابداری (عمومی)
چکیده انگلیسی

This study aims to explore whether a regularly updated portfolio of outperforming hedge funds can consistently beat the corresponding hedge fund dataset index. If yes, moreover, the second question concerns whether portfolio optimization approaches can lead to an even better performance than the naïve equal-weighting method. The dataset spans the January-1994 to August-2008 period and is classified into four main categories - Macro, Equity Hedge, Relative Value and Event Driven. Based on a seven-factor model, this study applies the Step-SPA test to each category of funds and examines the statistical significance of the studentized fund alpha over the selection period of 3–7 years in length. A ‘winner’ portfolio of funds, namely, consisting of funds with statistically significant, positive studentized alpha, can be formed at the end of the selection period and held for 1 up to 3 years. We find that the winner portfolio tends to beat the dataset indexes during the holding period, irrespective of the time span for the selection and the holding periods investigated. Moreover, two of the three optimization approaches employed, the Probabilistic Global Search Lausanne and the Genetic Algorithm, prove to further enhance the performance of the equal-weighted winning portfolio.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Asia Pacific Management Review - Volume 20, Issue 4, December 2015, Pages 275–284
نویسندگان
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