Detecting Performance Persistence in Fund Managers
提出一种基于基金持仓和整体组合持仓的相对评估方法，将基金收益分解为贝塔和阿尔法，实证表明该阿尔法在短期（6-9个月）内比原始收益更具预测性，适用于具有持仓透明度的对冲基金组合管理。
A new approach for relative evaluation of fund managers within a portfolio (book) is based on the explicit positions of the funds and the positions of the overall portfolio. The approach decomposes each fund9s return into beta and alpha components relative to the overall book. Tests of this book benchmark analysis on a portfolio of equity-based hedge funds during a 31-month period indicate its alphas are significantly more predictive than returns for short in-sample periods (six to nine months). This suggests that book benchmark alphas are a valuable quantitative tool for managing a portfolio of hedge funds with position-level transparency. While the analysis here is developed for a fund of hedge funds because of data considerations, the book benchmark concept is more general it can be used in any circumstances involving manager selection as long as there is position-level transparency. <b>TOPICS:</b>Portfolio management/multi-asset allocation, manager selection, performance measurement