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DYNAMIC ANALYSIS OF HEDGE FUNDS

机译：对冲基金的动态分析

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In this paper, we review one of the most effective financial multi-factor models, called Returns Based Style Analysis(RBSA), from the standpoint of its performance in detecting dynamic factor exposures of hedge funds using only fund performance data. We analyze the shortcomings of earlier models in capturing changes in a dynamic portfolio structure and lay the groundwork for a new approach, which we call Dynamic Style Analysis (DSA). The problem is treated as that of estimating a time-varying regression model of the observed time series with the inevitable necessity to choose the appropriate level of model volatility,ranging from the full stationarity of instant models to theirabsolute independence of each other. We further propose an efficient method of model estimation and introduce a novel measure of the validity Predicted 2 R that is used to select the model parameters. Using both model and real hedge fund returns we illustrate the advantages of the proposed technique in analysis of hedge funds.
机译：在本文中，我们从仅基于基金绩效数据检测对冲基金动态因子敞口的性能的观点出发，回顾了一种最有效的金融多因子模型，即基于收益的风格分析（RBSA）。我们分析了早期模型在捕获动态投资组合结构中的变化方面的缺点，并为新方法（称为动态样式分析（DSA））奠定了基础。该问题被视为估计观察到的时间序列的时变回归模型，不可避免地需要选择适当水平的模型波动性，范围从即时模型的完全平稳性到它们彼此的绝对独立性。我们进一步提出了一种有效的模型估计方法，并介绍了一种用于选择模型参数的有效性Predicted 2 R的新方法。使用模型和实际对冲基金的收益，我们说明了该技术在对冲基金分析中的优势。

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