{"title":"流动性另类共同基金与对冲基金:收益、风险因素和多样化","authors":"Jonathan S. Hartley","doi":"10.3905/jai.2019.1.073","DOIUrl":null,"url":null,"abstract":"Despite the rapid rise of the number of liquid alternative mutual funds (LAMFs) available to retail investors in recent years, few studies have compared how their returns, risk, and other characteristics (fees, turnover, and assets) differ from their hedge fund counterparts across their entire history. Being one of the first comprehensive studies to analyze more than two decades of LAMF performance, this article compares the performance of LAMFs to hedge funds, both in aggregate and broken down by investment styles and performance quintiles. Overall, LAMFs underperform hedge funds on average by 1% to 2% per year on a net-of-fee basis when controlling for standard risk factors. These findings provide important implications for investors seeking liquid hedge fund–like returns as well as for policymakers who have recently proposed imposing derivative position limits on 1940 Act investment vehicles. TOPICS: Mutual funds/passive investing/indexing, real assets/alternative investments/private equity, performance measurement, legal/regulatory/public policy","PeriodicalId":45142,"journal":{"name":"Journal of Alternative Investments","volume":null,"pages":null},"PeriodicalIF":0.4000,"publicationDate":"2019-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Liquid Alternative Mutual Funds versus Hedge Funds: Returns, Risk Factors, and Diversification\",\"authors\":\"Jonathan S. Hartley\",\"doi\":\"10.3905/jai.2019.1.073\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Despite the rapid rise of the number of liquid alternative mutual funds (LAMFs) available to retail investors in recent years, few studies have compared how their returns, risk, and other characteristics (fees, turnover, and assets) differ from their hedge fund counterparts across their entire history. Being one of the first comprehensive studies to analyze more than two decades of LAMF performance, this article compares the performance of LAMFs to hedge funds, both in aggregate and broken down by investment styles and performance quintiles. Overall, LAMFs underperform hedge funds on average by 1% to 2% per year on a net-of-fee basis when controlling for standard risk factors. These findings provide important implications for investors seeking liquid hedge fund–like returns as well as for policymakers who have recently proposed imposing derivative position limits on 1940 Act investment vehicles. TOPICS: Mutual funds/passive investing/indexing, real assets/alternative investments/private equity, performance measurement, legal/regulatory/public policy\",\"PeriodicalId\":45142,\"journal\":{\"name\":\"Journal of Alternative Investments\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2019-06-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Alternative Investments\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jai.2019.1.073\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Alternative Investments","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jai.2019.1.073","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Liquid Alternative Mutual Funds versus Hedge Funds: Returns, Risk Factors, and Diversification
Despite the rapid rise of the number of liquid alternative mutual funds (LAMFs) available to retail investors in recent years, few studies have compared how their returns, risk, and other characteristics (fees, turnover, and assets) differ from their hedge fund counterparts across their entire history. Being one of the first comprehensive studies to analyze more than two decades of LAMF performance, this article compares the performance of LAMFs to hedge funds, both in aggregate and broken down by investment styles and performance quintiles. Overall, LAMFs underperform hedge funds on average by 1% to 2% per year on a net-of-fee basis when controlling for standard risk factors. These findings provide important implications for investors seeking liquid hedge fund–like returns as well as for policymakers who have recently proposed imposing derivative position limits on 1940 Act investment vehicles. TOPICS: Mutual funds/passive investing/indexing, real assets/alternative investments/private equity, performance measurement, legal/regulatory/public policy
期刊介绍:
The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices