Zero-R2Hedge Funds and Market Neutrality
研究发现约三分之一对冲基金的因子模型R平方不显著异于零，这些基金波动更低、夏普比率和阿尔法更高，但组合波动仍达其他基金一半，且失败概率更高，暗示存在遗漏因子带来显著下行风险。
Abstract Factor models yield an R 2 insignificantly different from 0 for one-third of hedge funds in a broad sample. These funds illustrate the concept of market neutrality and feature lower volatilities, higher Sharpe ratios, and higher alphas than other funds, indicating that they provide a successful alternative investment. However, large portfolios of zero- R 2 funds contain fully half the volatility of portfolios of other funds, suggesting that they feature substantial systematic risk. Furthermore, these funds display an increased probability of failure even after controlling for idiosyncratic volatility. These results indicate the presence of an omitted factor that exposes investors to significant downside risk.