Identifying Hedge Fund Skill by Using Peer Cohorts
提出一种基于收益相关性的同行群体模型，用于评估对冲基金相对于执行相似策略的同行表现，能更好识别有技能的基金经理，并提升对冲基金中的基金组合构建效果。
We propose a cohort model that evaluates hedge funds against peer groups executing similar investment strategies formed by using return correlations. Our method improves the identification of skilled managers, as evidenced by a strong ability to explain hedge fund returns out-of-sample, with cohort alpha being more persistent than alpha based on the widely accepted seven-factor model. A hedge fund-of-funds analysis found significant performance enhancement from exposure to the best funds within each cohort. The cohort approach can be used to enhance the construction of hedge fund-of-funds portfolios by isolating strategy groupings as well as the best managers within each group.