Incentives and Endogenous Risk Taking: A Structural View on Hedge Fund Alphas
研究对冲基金经理面临的非线性激励（如业绩费期权、赎回期权和强制去杠杆）如何影响最优杠杆和绩效度量，发现忽略这些特征的简化方法存在显著误判偏差，并提出结构性绩效归因方法。
ABSTRACT Hedge fund managers are subject to several nonlinear incentives: performance fee options (call); equity investors' redemption options (put); and prime broker contracts allowing for forced deleverage (put). The interaction of these option‐like incentives affects optimal leverage ex ante, depending on the distance of fund‐value from the high‐water mark. We study how these endogenous effects influence performance measures used in the literature. We show that reduced‐form measures that do not account for these features are subject to economically significant false discovery biases. The result is stronger for low‐quality funds. We propose an alternative structural methodology for conducting performance attribution in hedge funds.