haku: @author Hsieh, D. A. / yhteensä: 8
viite: 2 / 8
| Tekijä: | Fung, W. Hsieh, D. A. |
| Otsikko: | The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers |
| Lehti: | Review of Financial Studies
2001 : SUMMER, VOL. 14:2, p. 313-342 |
| Asiasana: | FINANCE FUNDS STRATEGY RISK RISK ANALYSIS THEORIES |
| Kieli: | eng |
| Tiivistelmä: | Hedge fund strategies typically generate option-like returns. Linear-factor models using benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten and Jagannathan (1994), this article shows how to model hedge fund returns by focusing on the popular "trend-following" strategy. The authors use look back straddles to model trend-following strategies, and show that they can explain trend-following funds' returns better than standard asset indices. Though standard straddles lead to similar empirical results, look back straddles are theoretically closer to the concept of trend following. The authors' model should be useful in the design of performance benchmarks for trend- following funds. |
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