PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2011 | nr 6 | 85--124
Tytuł artykułu

Wyniki inwestycyjne funduszy hedge : czynniki wpływające na ich interpretację

Autorzy
Warianty tytułu
Hedge Fund Performance : Determinants of Its Interpretation
Języki publikacji
PL
Abstrakty
Artykuł traktuje o wynikach inwestycyjnych funduszy hedge i czynnikach, które należy brać pod uwagę, analizując ich stopy zwrotu dostępne w komercyjnych bazach danych. Ich interpretacja ma bardzo duże znaczenie poznawcze i aplikacyjne, ponieważ wspiera decyzje alokacyjne uczestników tego rynku. Jest też istotna dla porównania wyników tych funduszy z efektywnością tradycyjnych form inwestowania. Artykuł składa się z pięciu części. Na początek przybliżono istotę i sposoby pomiaru nieograniczonej stopy zwrotu stosowane w literaturze, które wpływają na jej pojmowanie przez uczestników rynku funduszy hedge. Następnie zaprezentowano związki między wynikami inwestycyjnymi tych funduszy a ich cechami. Dalej skupiono się na błędach (biases) występujących w bazach danych funduszy hedge, mogących przyczyniać się do niepoprawnej interpretacji ich stóp zwrotu i indeksów tego rynku. W podsumowaniu nakreślono wnioski z podjętych rozważań dla polskich inwestorów, których zainteresowanie inwestycjami o charakterze alternatywnym znacznie się zwiększyło po wybuchu kryzysu finansowego z lat 2007-2008. (abstrakt oryginalny)
EN
The article deals with the hedge fund performance and the factors which should be considered when analyzing the hedge fund data bases. The right interpretation of the data on the hedge fund performance is very important since it allows making the accurate allocation decisions of the market participants. It is also useful for comparing hedge funds to mutual funds. The article consists of five parts. After the introduction we present the essence of absolute return and different ways of its measurement which may influence its understanding by the investors. Later we show the relation between hedge fund performance and the fund attributes. Then we concentrate on the biases typical for the hedge fund data bases which may cause the incorrect interpretation of the performance of funds and market indices. In conclusion we summarize the findings of the paper and underline their meaning for Polish investors, who - after the financial crisis of 2007/2008 - become very interested in alternative investments. (original abstract)
Czasopismo
Rocznik
Numer
Strony
85--124
Opis fizyczny
Twórcy
  • Uniwersytet Ekonomiczny w Poznaniu
Bibliografia
  • Ackermann C., McEnally R., Ravenscraft D. (1999), The performance of hedge funds: risk, returs and incentives, Journal of Finance, 54(3), 833-874.
  • Agarwal V., Daniel N.D., Naik N.Y. (2004), Flows, performance and managerial incentives in hedge funds, University of Cologne, Centre for Financial Research Working Paper, 04-04.
  • Agarwal V., Daniel N.D., Naik N.Y. (2009), Role of managerial incentives and discretion in hedge fund performance, Journal of Finance, 64(5), 2221-2256.
  • Agarwal V., Naik N.Y. (2000a), Multi-period performance persistence analysis of hedge funds, Journal of Financial and Quantitative Analysis, 35(3), 327-342.
  • Agarwal V., Naik N.Y. (2000b), On taking the alternative route: risks, rewards, and performance persistence of hedge funds, Journal of Alternative Investments, 2(2), 6-23.
  • Agarwal V., Naik N.Y. (2004), Risks and portfolio decisions involving hedge funds, Review of Financial Studies, 17(1), 63-98.
  • Aggarwal R.K., Jorion S. (2009), The risk of emerging edge funds and managers, Journal of Investing, Spring, 100-107.
  • Aggarwal R.K., Jorion S. (2010a), Hidden survivorship in hedge fund returns, Financial Analysts Journal, 66(2), s. 1-6.
  • Aggarwal R.K., Jorion S. (2010b), The performance of emerging hedge funds and managers, Journal of Financial Economics, 96, May, 238-256.
  • AIMA (2009), Opinion: why did G20 focus on hedge funds? International Financial Law Review, 28(5).
  • Amenc N., Martellini L. (2002), Portfolio optimization and hedge fund style allocation decisions, Journal of Alternative Investments, 5(2), 7-20.
  • Amin G.S., Kat H.M. (2003), Welcome to the dark side: hedge fund attrition and survivorship bias over the period 1994-2001, Journal of Alternative Investment, 5(4), 57-73.
  • Ammann M., Moerth P. (2005), Impact of fund size on hedge fund performance, Journal of Asset Management, 6(3), 219-237.
  • Ammann M., Moerth P. (2008a), Impact of fund size and fund flows on hedge fund performance, Journal of Alternative Investments, 11(1), 78-96.
  • Ammann M., Moerth P. (2008b), Performance of funds of hedge funds, Journal of Alternative Investments, 11(1), 46-63.
  • Athanassiou P. (2009), Hedge fund regulation in the European Union. Current trends and future perspective, Wolters Kluwer International, Alphen aan den Rijn.
  • Baquero G., Horst J., Verbeek M. (2005), Survival, look-ahead bias and persistence in hedge fund performance, Journal of Financial and Quantitative Analysis, 40(3), 493-517.
  • Barès S.-A., Gibson R., Gyger S. (2003), Performance in the hedge funds industry: an analysis of short- and long-term persistence, Journal of Alternative Investments, 6(3), 25-41.
  • Barry R. (2002), Hedge funds: a walk through the graveyard, Macquarie University Applied Finance Centre, Working Paper, September.
  • Brooks Ch., Kat H.M. (2002), The statistical properties of hedge fund index returns and their implications for investors, Journal of Alternative Investments, 5(2), 26-44.
  • Brown S.J., Goetzmann W.N., Ibbotson R.G. (1999), Offshore hedge funds: survival and performance, 1989-95, Journal of Business, 72 (1), 91-117.
  • Brown S.J., Goetzmann W.N., Park J.M. (1999), Conditions for survival: changing risk and the per formance of hedge fund managers and CTAs, New York University, Working Paper, FIN-99-077.
  • Brown S.J., Goetzmann W.N., Park J.M. (2001), Careers and survival: competition and risk in the hedge fund and CTA industry, Journal of Finance, 56(5), 1869-1886.
  • Burke G. (1994), A sharper Sharpe ratio, Futures, 23(3), 56.
  • Capocci D., Corhay A., Hübner G. (2005), Hedge fund performance and persistence in bull and bear market, European Journal of Finance, 11(5), 361-392.
  • Capocci D., Hübner G. (2004), An analysis of hedge funds performance, Journal of Empirical Finance, 11, 55-89.
  • Carhart, M.M. (1997), On persistence in mutual fund performance, Journal of Finance, 52(1), 57-82.
  • Das S.R., Sundaram R.K. (2002), Fee speech: signaling, risk-sharing and the impact of fee structures on investor welfare, Review of Financial Studies, 15(5), 1465-1497.
  • De Long B., Shleifer A., Summers L.H., Waldmann R.J. (1990), Noise trader risk in financial markets, Journal of Political Economy, 98 (4), 703-738.
  • Dowd K. (2000), Adjusting for risk: an improved Sharpe ratio, International Review of Economics and Finance, 9, 209-222.
  • ECB (2006), Hedge funds: developments and policy implications, European Central Bank Monthly Bulletin, January, 63-76.
  • Edwards F.R., Caglayan M.O. (2001), Hedge fund performance and manager skill, Journal of Futures Markets, 21(11), 1003-1028.
  • Eichengreen B., Mathieson D., Chadha B., Jansen A., Kodres L., Sharma S. (1998), Hedge funds and financial market dynamics, IMF Occasional Paper, 166, Washington D.C.
  • Eling M. (2009), Does hedge fund performance persist? Overview and new empirical evidence, European Financial Management, 15 (2), 362-401.
  • Eling M., Faust R. (2010), The performance of hedge funds and mutual funds in emerging markets, Journal of Banking and Finance, 34, 1993-2009.
  • Eling M., Schuhmacher F. (2007), Does the choice of performance measure influence the evaluation of hedge funds? Journal of Banking & Finance, 31(9), 2632-2647.
  • Fama E.F., French K.R. (1992), The cross-section of expected stock returns, Journal of Finance, 47(2), 427-465.
  • Foster R., Kaplan S. (2001), Creative Destruction. Why companies that are built to last underperf orm the market - and how to successfully transform them, Doubleday, Currency Books, New York.
  • Fung W., Hsieh D.A. (1997a), Empirical characteristics of dynamic trading strategies: the case of hedge funds, Review of Financial Studies, 10 (2), 275-302.
  • Fung W., Hsieh D.A. (1997b), Investment style and survivorship bias in the returns of CTAs: the information content of track records, Journal of Portfolio Management, 24, 30-41.
  • Fung W., Hsieh D.A. (1999), Is mean-variance analysis applicable to hedge funds? Economic Letters, 62(1), 53-58.
  • Fung W., Hsieh D.A. (2000a), Measuring the market impact of hedge funds, Journal of Empirical Finance, 7(1), 1-36.
  • Fung W., Hsieh D.A. (2000b), Performance characteristics of hedge funds and commodity funds: natural vs. spurious biases, Journal of Financial and Quantitative Analysis, 35(3), 291-307.
  • Fung W., Hsieh D.A. (2001), The risk in hedge fund strategies: theory and evidence from trend followers, Review of Financial Studies, 14(2), 313-341.
  • Fung W., Hsieh D.A. (2004), Hedge fund benchmarks: a risk based approach, Financial Analyst Journal, 60(5), 65-80.
  • Fung W., Hsieh D.A. (2006), Hedge funds: an industry in its adolescence, Federal Reserve Bank of Atlanta Economic Review, 91, Fourth Quarter, 1-34.
  • Fung W., Hsieh D.A. (2009), Measurement biases in hedge fund performance data: an update, Financial Analysts Journal, 65(3), May/June, 36-38.
  • Füss R., Kaiser D.G., Strittmatter A. (2009), Measuring funds of hedge fund performance using quantile regressions: do experience and size matter? Journal of Alternative Investments, 12(2), 41-53.
  • Gabryelczyk K. (2006), Fundusze inwestycyjne. Rodzaje, zasady funkcjonowania, efektywność, Oficyna Ekonomiczna, Kraków.
  • Getmansky M. (2004), The life cycle of hedge funds: fund flows, size and performance, MIT Laboratory for Financial Engeneering, unpublished manuscript.
  • Getmansky M., Lo A.W., Makarov I. (2004), An econometric model of serial correlation and illiquidity in hedge fund returns, Journal of Financial Economics, 74(3), 529-609.
  • Goetzmann W.N., Ingersoll J.E., Ross S.A. (2003), High-water mark and hedge fund management contracts, Journal of Finance, 58(4), 1685-1717.
  • Gregoriou G.N. (2002), Hedge fund survival lifetimes, Journal of Asset Management, 3(3), 237-252.
  • Gregoriou G.N. (2004), Are managers of funds of hedge funds good market timers? Journal of Wealth Management, 7(3), 61-76.
  • Gregoriou G.N., Gueyie J.-P. (2003), Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio, Journal of Wealth Management, 6(3), 77-83.
  • Gregoriou G.N., Hübner G., Papageorgiou N., Rouah F (red.) (2005), Hedge funds. Insights in performance measurement, risk analysis, and portfolio allocation, Hoboken NJ.
  • Grinblatt M., Titman S. (1989), Mutual fund performance: an analysis of quarterly portfolio holdings, Journal of Business, 62(3), 393-416.
  • Hedge Fund Research (2009), Global Hedge Fund Industry Report. Q4 2009, www.hedgefundresearch. com.
  • Hedges R. (2003), Size vs. performance in the hedge fund industry, Journal of Financial Transformation, 10, 14-17.
  • Herzberg M.M., Mozes H.A. (2003), The persistence of hedge fund risk: evidence and implications for investors, Journal of Alternative Investments, 6(2), 22-42.
  • Howell M.J. (2001), Fund age and performance, Journal of Alternative Investments, 4(2), 57-60.
  • Ibbotson R.G., Chen S. (2006), The A, B, Cs of hedge funds: alphas, betas and costs, Yale ICF, Working Paper, 06-10.
  • Jegadeesh N., Titman S. (1993), Returns to buying winners and selling losers: implications for stock market efficiency, Journal of Finance, 48(1), 65-91.
  • Jen S., Heasman Ch., Boyatt K. (2001), Alternative asset strategies: early performance in hedge fund managers, Lazard Asset Management, London, November, www.aima.org.
  • Jensen M.C. (1968), The performance of mutual funds in the period 1945-1964, Journal of Finance, 23(2), 389-416.
  • Jones M. (2007), Examination of fund age and size and its impact on hedge fund performance, Derivatives Use, Trading & Regulation, 12(4), 342-350.
  • Kaiser D.G, Haberfelner F. (2011), Hedge fund biases after the financial crisis, Centre for Practical Quantitative Finance, Frankfurt School of Finance and Management, Working Paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1809570.
  • Kaiser D.G. (2008), The life-cycle of hedge funds, Journal of Derivatives and Hedge Funds, 14(2), 127-149.
  • Kaplan P.D., Knowles J.A. (2004), Kappa: a generalized downside risk-adjusted performance measure, Journal of Performance Measurement, January.
  • Kestner L.N. (1996), Getting a handle on true performance, Futures, 25(1), 44-46.
  • Koh F., Koh W.T., Teo M. (2003) Asian hedge funds: return persistence, style, and fund characteristics, Singapore Management University, Working Paper, June.
  • Komisja Europejska (2009), Dyrektywa Parlamentu Europejskiego i Rady w sprawie zarządzających alternatywnymi funduszami inwestycyjnymi i zmieniająca dyrektywy 2004/39/WE i 2009/65/WE. Uzasadnienie wniosku, Bruksela, 30 kwietnia 2009, nr 2009/0064 (COD).
  • Lhabitant F.-S. (2006), Handbook of hedge funds, John Wiley & Sons, London.
  • Li Y., Kazemi H. (2007), Conditional properties of hedge funds: evidence from daily returns, European Financial Management, 13(2), 211-238.
  • Li Y., Mehran J. (2009), Risk-taking and managerial incentives: seasoned versus new funds of funds, Journal of Alternative Investments, 11(3), 100-108.
  • Liang B. (1999), On the performance of hedge funds, Financial Analysts Journal, 55(4), July/August, 72-85.
  • Liang B. (2000), Hedge funds: the living and the dead, Journal of Financial and Quantitative Analysis, 35(3), September, 309-336.
  • Liang B. (2001), Hedge fund performance: 1990-1999, Financial Analysts Journal, 57(1), January/ February, 11-18.
  • Liang B. (2003), On the performance of alternative investments: CTAs, hedge funds and funds-of funds, Case Western Reserve University, Cleveland, Working Paper, April.
  • Liang B., Park H. (2010), Predicting hedge fund failure: a comparison of risk measures, Journal of Financial and Quantitative Analysis, 45(1), 199-222.
  • Lo A.W. (2002), The statistics of Sharpe ratios, Financial Analysts Journal, 58(4), 36-52.
  • Malkiel B.G. (1995), Returns from investing in equity mutual funds 1971-1991, Journal of Finance, 50(2), June, 549-572.
  • Malkiel B.G., Saha A. (2005), Hedge funds: risk and return, Financial Analysts Journal, 61(6), s. 80-88.
  • Modigliani F., Modigliani L. (1997), Risk-adjusted performance - hot to measure it and why, Journal of Portfolio Management, 23(2), 45-54.
  • Perez K. (2011), Fundusze hedge. Istota, strategie, potencjał rynku, Wydawnictwo C.H. Beck, Warszawa.
  • Posthuma N., van der Sluis S.J. (2003), A reality check on hedge fund returns, Free University Amsterdam, Working Paper, July 8.
  • Schneeweis T., Kazemi H., Martin G. (2002), Understanding hedge fund performance: research issues revisited - Part I, Journal of Alternative Investments, 5(3), 6-22.
  • Schneeweis T., Spurgin R. (1998), Multifactor analysis of hedge fund, managed futures and mutual fund return and risk characteristics, Journal of Alternative Investments, 1(2), 1-24.
  • Shadwick W.F., Keating C. (2002), A universal performance measure, Journal of Performance Measurement, 6(3), 59-84.
  • Shapiro S.P. (2005), Agency theory, Annual Review of Sociology, 31, 263-284.
  • Sharpe W. (1966), Mutual fund performance, Journal of Business, 38(1), Part 2, 119-138.
  • Sortino F., van der Meer R., Plantinga A. (1999a), The Dutch Triangle: a framework to measure upside potential relative to downside risk, Journal of Portfolio Management, 26(1), 50-58.
  • Sortino F., van der Meer R., Plantinga A. (1999b), The upside potential ratio, Journal of Performance Measurement, 4(1), 10-15.
  • Sortino F.A., Price L.N. (1994), Performance measurement in a downside risk framework, Journal of Investing, 3(3), 59-65.
  • Sortino, F.A., van der Meer R. (1991), Downside risk, Journal of Portfolio Management, 17(4), 27-31.
  • Stefanini F. (2006), Investment strategies of hedge funds, John Wiley & Sons, London.
  • Steri R., Giorgino M., Viviani D. (2009), The Italian hedge funds industry: an empirical analysis of performance and persistence, Journal of Multinational Financial Management, 19(1), 75-91.
  • Strömqvist M. (2009), Hedge funds and financial crises, Sveriges Riskbank Economic Review, 2009/1, 87-106.
  • Xiong J., Idzorek T., Chen P., Ibbotson R. (2009), Impact of size and flows on performance for funds of hedge funds, Journal of Portfolio Management, 35(2), 118-130.
  • Xu X.E., Liu J., Loviscek A.L. (2011), An examination of hedge fund survivorship bias and attrition before and during the global financial crisis, Journal of Alternative Investments, 13(4), 40-52.
  • Young T.W. (1991), Calmar ratio: a smoother tool, Futures, 20(1), 40.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171193875

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.