The Cost of Capital for Alternative Investments
传统模型显示对冲基金年化超额收益达6%-10%，但收益特征与标普500看跌期权策略相似。本文提出均衡模型，认为少数投资者承担下行风险导致要求回报率远高于传统模型，影响投资吸引力判断。
ABSTRACT Traditional risk factor models indicate that hedge funds capture pre‐fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put‐writing strategies. We show that the high excess returns to hedge funds and put‐writing are consistent with an equilibrium in which a small subset of investors specialize in bearing downside market risks. Required rates of return in such an equilibrium can dramatically exceed those suggested by traditional models, affecting inference about the attractiveness of these investments.