Portfolio Hedging Strategies and Geometric Returns: From Theory to Practice
通过蒙特卡洛模拟而非历史数据，研究对冲能否提升投资组合的长期复利回报，并量化了改善几何回报所需的对冲资产特征。
Arguments for and against portfolio hedging tend to be highly polarized, with conclusions often limited by the availability of historical data. In this article, the authors introduce a framework that takes a Monte Carlo simulation–based approach rather than relying on historical analysis and focuses purely on whether portfolio hedging can improve long-term compounded returns. Considering a hypothetical diversifying asset class with a nonlinear conditional return profile, they show how hedging can improve the geometric return of a portfolio even when the hedge has a lower expected return than the asset class it replaces in the portfolio. The authors quantify the characteristics required of a hedging asset class for it to improve the geometric portfolio return and compare theoretical results to what may be achievable in practice based on the performance of a range of different hedge fund portfolios targeting specific levels of downside equity beta.