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1、HedgeFundsInvesting:AQuantitativeLookInsidetheBlackBox*François-SergeLhabitantAugust2001Abstract:Thereisanincreasingamountofevidencethatshowsthebenefitsofconsideringhedgefundsasanassetclassatthestrategicassetallocationlevel.Theinvestors’greatestchallengerem
2、ainstheidentificationofdesirableinvestmentvehicles,sinceverylittleformalquantitativeanalysisofhedgefundshasbeendoneinthepast.Inthispaper,wesuggestaninnovativeapproachtohedgefundinvesting,whichisvalidattheindividualfundlevelaswellasattheaggregateportfoliolev
3、el(e.g.portfolioofhedgefunds).Thisapproachonlyreliesonhedgefundshistoricalreturns.Weprovideseveralillustrations,includingstaticanddynamicstyleanalysis,benchmarkconstruction,performanceassessment,andvalueatriskcalculations.1IntroductionTheconsequencesofgloba
4、lizationhavedramaticallyerodedtraditionalassetallocationdogmas.Internationalassetsmovemoreandmoreinlockstepfashionandfailtofulfilltheirdiversificationpromises,particularlyinturbulenttimes.Consequently,investorshavebroadenedtheirinvestmenthorizonsandstarteds
5、eekingalternativeassetclasses,amongthem,hedgefunds.Investorscommonlyviewhedgefundsasthephenomenonofthe1990s.Fromafewhundredplayerstenyearsago,thehedgefundindustryhasexpandedtoseveralthousandtodaywithdouble-digitannualgrowth.Withcapitalundermanagementunder$1
6、00million,mostofthenewcomersaresmall,butafewdozenfundshadacapitalbaselargerthan$1billionattheendof2000.Hedgefundshavetraditionallymanagedcapitalforhighnetworthindividuals,familyoffices,andendowments.Morerecently,abroadrangeofinstitutionalinvestors(including
7、pensionfundsintheNetherlands,Switzerland,ScandinaviaaswellasUSfunds)hasalsoexpressedanincreasedinterestinhedgefunds.Itislikelythatthisinterestwillcontinueinthenearfuture,increasingtheroleofhedgefundswithintraditionalasset-allocationmodels.*François-SergeLha
8、bitant,Ph.D.,istheHeadofQuantitativeRiskManagementatUnionBancairePrivée(Geneva),ProfessorofRiskManagementatH.E.C.UniversityofLausanneandanAssistantProfessorofFinanceatThunderbird,theAmericanGraduateSch
