基于六因素模型的对冲基金收益研究

On Excess Returns of Hedge Funds Based on Six-factor Model

对冲基金一直以其高收益而著称。与共同基金相比,对冲基金确实具有更高的收益。通过六因素模型分析显示,在样本空间内,相当大比例的对冲基金会有超额收益,但收益的规模和发生的频率因对冲基金投资模式不同而大相径庭。同时,进一步的回归分析显示,对冲基金的业绩总是与其支付给基金经理的激励费正相关:激励费越高,基金的业绩就越好。

Hedge Funds are famous for their high returns, and they really gain higher returns than mutual funds.We find that most hedge funds earn positive excess returns by analysis of Six-factor Model and that the frequency and magnitude of fund s excess returns differ markedly with investment style.We still find that hedge funds that pay managers higher incentive fees also have higher excess returns.