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Applications of quantitative methods in managing hedge funds: Compensation competition and replication.

机译：定量方法在对冲基金管理中的应用：薪酬竞争和复制。

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摘要

This dissertation discusses two applications of quantitative methods in managing hedge funds (HFs): investigating the impact of competition on hedge fund managers' compensation and replicating hedge fund index returns.;The first part of the dissertation explains how competition for capital impacts HF managers' compensation through both theoretical and empirical analyses. Being the open-ended and largely unregulated private investment vehicles, HFs have sharply grown in the last decade. However, because HF managers are not required to publicly report active information on their operations and performance, investors face a high risk in fund selection, gambling on HF managers' skills and performance. HF managers' compensation contracts have become one signal of their skills in investors' fund selection. Before late 2007, since new assets continuously flowed into the HF industry, HF managers lacked competition and had bargaining power to make the take-it-or-leave-it offers to investors regarding their compensations. However, after late 2007, due to the financial crisis, lots of assets have flown out of the HF industry, forcing HFs managers, especially the new entrants, to compete for capital. Managers' compensation contracts have experienced corresponding changes. In this paper, we formulate a signaling game model to investigate the impact of competition among HF managers on their compensation contracts under an information asymmetry structure. Different from the pervious papers in which competition discussions are absent, we show that when competition level is above a threshold, HF managers are less willing to use a high-water mark to signal their skill types in attracting investment. These theoretical findings are further validated by an empirical study, in which 1,840 funds over the period of 1991 to 2008 are included. In particular, our analysis shows that when the net asset flow is negative, the proportion of managers using HWM decreases as the competition increases while the incentive fees also decrease. Meanwhile, we also find that onshore funds and small funds are less likely to use HWM to compete with offshore funds and large funds, respectively. In addition, the minimum investment requirement is not a significant factor in deciding whether to adopt a HWM in a compensation contract.;The second part of this dissertation discusses a new approach of replicating hedge fund index returns. There has been great interest in creating portfolios using common liquid instruments to replicate hedge fund returns. In a recent article, Hasanhodzic and Lo (2007) demonstrate that a factor-based approach based on a linear regression model with 5 tradable risk factors can adequately replicate monthly returns of 1,610 hedge funds in 1986 to 2005. We propose a learning-based linear replication algorithm to enhance the linear model. Results show that our approach can improve the replicating capability of linear replicator, especially for some nonlinear and dynamic strategies, e.g., Event-driven and Emerging Markets. The annualized root mean squared error is improved by 40% and 34%, respectively. The new method can automatically detect the market changes and separate return points into different polyhedral regions, even high dimensions (multiple risk factors). By using 12 major strategy indexes' monthly returns compiled by 7 data vendors from their inception date until December 2008, we examine our method with six common risk factors and find that our algorithm can improve explanatory of hedge fund index returns. The performance of our new replicator is also tested by cloning out-of-sample monthly returns through using five out of these six factors.
机译：本文讨论了量化方法在对冲基金管理中的两种应用：调查竞争对冲基金经理的报酬的影响和复制对冲基金指数收益。本文的第一部分说明了资本竞争对资本管理人的影响。通过理论和经验分析进行补偿。作为开放式且不受监管的私人投资工具，HF在过去十年中急剧增长。但是，由于不要求HF管理者公开报告有关其运营和绩效的活跃信息，因此投资者在选择基金时面临着很高的风险，因为他们在赌博中关注HF管理者的技能和绩效。 HF管理者的薪酬合同已成为其选择投资者资金技巧的信号之一。在2007年末之前，由于新资产不断流入HF行业，因此HF管理人员缺乏竞争能力，并且具有议价能力，可以就投资者的补偿向投资者提供“接受或保留”报价。但是，由于金融危机，在2007年下半年之后，许多资产从HF行业流出，迫使HF管理者（尤其是新进入者）争夺资本。管理人员的薪酬合同发生了相应的变化。在本文中，我们建立了一个信号博弈模型，以研究信息不对称结构下HF经理人之间的竞争对其报酬合同的影响。与以往的缺乏竞争讨论的论文不同，我们表明，当竞争水平超过阈值时，HF管理者不太愿意使用高水位线来表示其吸引投资的技能类型。理论研究进一步验证了这些理论发现，其中包括1991年至2008年期间的1,840项资金。特别是，我们的分析表明，当净资产流为负数时，使用HWM的经理的比例随着竞争的增加而降低，而激励费用也降低。同时，我们还发现，境内基金和小型基金不太可能分别使用HWM与境外基金和大型基金竞争。此外，最低投资要求并不是决定是否在补偿合同中采用HWM的重要因素。本文的第二部分探讨了一种复制对冲基金指数收益的新方法。人们对使用通用流动工具复制对冲基金收益的投资组合产生了极大的兴趣。 Hasanhodzic和Lo（2007）在最近的一篇文章中证明，基于具有5个可交易风险因素的线性回归模型的基于因子的方法可以充分复制1986年至2005年的1,610个对冲基金的月收益。我们提出了一种基于学习的线性复制算法以增强线性模型。结果表明，我们的方法可以提高线性复制器的复制能力，特别是对于某些非线性和动态策略，例如事件驱动的市场和新兴市场。年度均方根误差分别提高了40％和34％。新方法可以自动检测市场变化，并将返回点分为不同的多面体区域，甚至是高维度（多个风险因素）。通过使用由7个数据供应商从成立之日起至2008年12月的12种主要策略指数的月收益，我们研究了具有六个常见风险因素的方法，发现我们的算法可以改善对冲基金指数收益的解释。通过使用这六个因素中的五个因素来克隆样本外每月回报，还测试了我们新复制器的性能。

著录项

  • 作者

    Pan, Fei.;

  • 作者单位

    Purdue University.;

  • 授予单位 Purdue University.;
  • 学科 Business Administration Management.
  • 学位 Ph.D.
  • 年度 2009
  • 页码 101 p.
  • 总页数 101
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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