Hedge fund portfolio selection with fund characteristics
研究了基于基金特征构建对冲基金组合的方法，发现最小化风险的特征组合表现优异，例如偏向小规模、高alpha、高策略独特性且低系统风险的基金组合年化夏普比率达2.03，最大回撤仅5.20%。
This paper examines hedge fund portfolio selection approaches in isolation and in the context of an investor’s overall portfolio. Characteristics-based portfolios that minimize risk delivers superior out-of-sample performance. For instance, a minimum variance portfolio tilting toward small funds with high alpha and strategy distinctiveness index and low systematic risk delivers an annualized Sharpe ratio of 2.03 with a maximum drawdown of 5.20%. Investors realize diversification benefits by shifting a portion of their wealth from 60 to 40 equity-bond portfolio to characteristics-based hedge fund portfolio. Investors recognize the attractiveness of characteristics-based portfolios, but do not target flows enough to erode their superior performance.