Should hedge funds deviate from the benchmark?
研究对冲基金偏离基准与后续绩效的关系，提出分散贡献指数衡量偏离程度，发现偏离大的基金因承担更高风险而表现更差，对投资者和基金经理有参考价值。
Abstract We examine the relationship between deviating from the benchmark and subsequent performance for hedge funds. We propose a simple new measure of benchmark deviations, termed the dispersion contribution index, which is based on a fund's return‐distance from the mean return of same‐style funds. We find that funds which deviate the most from their benchmark tend to underperform relative to their less distinctive peers, after accounting for their risk profile and various fund characteristics. This relative underperformance stems primarily from the higher subsequent risk exposure associated with pursuing a unique strategy. Our results are indicative of risk shifting by fund managers attempting to maximize the value of their compensation contracts.