Early evidence on the performance of hedged exchange traded funds

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2021-10-02 DOI:10.1080/10293523.2021.2010375

J. Fung, Jason M. K. Cheng, F. Y. Eric Lam

引用次数: 0

Abstract

ABSTRACT This study provides early evidence on the performance of Hedged Exchange Traded Funds (HETFs), which were introduced around 2006. These securities track and enable retail investors to access two hedge fund strategies: global macro and long/short equity. Using monthly data of HETFs that survived until December 2017, the paper shows that most of the individual HETFs and HETF portfolios have significant tracking error risk; despite the survivorship bias, the sample of HETFs fails to produce positive average returns and underperforms both 1-month T-bill and S&P500. Moreover, their alphas adjusting for multiple risk factors related to hedge fund returns were negative. We further find that adding individual HETFs and HETF portfolios could not improve the Shape ratios of traditional stocks and/or bonds portfolios, suggesting that HETFs themselves have high market and interest rate exposures.

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对冲交易所交易基金业绩的早期证据

摘要本研究为套期保值交易所交易基金（HETF）的业绩提供了早期证据，该基金于2006年左右推出。这些证券跟踪并使散户投资者能够获得两种对冲基金策略：全球宏观和多头/空头股票。使用存活到2017年12月的HETF的月度数据，论文表明，大多数单个HETF和HETF投资组合都存在显著的跟踪错误风险；尽管存在生存偏差，HETF样本未能产生正的平均回报，并且表现不佳，1个月期国债和标准普尔500指数都表现不佳。此外，他们对与对冲基金回报相关的多种风险因素进行调整后的阿尔法系数为负。我们进一步发现，增加单个HETF和HETF投资组合并不能提高传统股票和/或债券投资组合的形状比率，这表明HETF本身具有较高的市场和利率敞口。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.