Quantitative Topics in Hedge Fund Investing
研究了对冲基金投资中的五个量化主题，包括用多因子模型分离alpha与beta、检验收益序列相关性、学术方法在组合构建中的困难与解决方案、经理选择比策略配置更重要，以及负偏态收益对组合构建的影响。
There are five current topics in hedge fund investing examined here. First is that investors should use multifactor models with observable market factors when they attempt to separate alpha from beta. Second, it is important to test for the positive serial correlation in hedge fund returns that remains a pervasive problem. Third, there are some difficulties in applying academic techniques to portfolio construction, but several pragmatic solutions may be able to overcome them. Fourth, manager selection may be more important than strategy allocation for hedge fund investing. Finally, negatively skewed returns have implications for the construction of a portfolio of hedge funds.