英文版研究报告：Are Market Neutral Hedge Funds Really Market Neutral.pdfVIP

Are ìMarket Neutralî Hedge Funds Really Market Neutral? Andrew J. Patton∗ London School of Economics First version: 11 March, 2004. This version: 28 October, 2004. Abstract One can consider the concept of market neutrality for hedge funds as having breadth and depth: ìbreadthî reflects the number of market risks to which a fund is neutral, while ìdepthî reflects the ìcompletenessî of the neutrality of the fund to market risks. We focus on market neutral- ity depth, and propose five different neutrality concepts. ìMean neutralityî nests the standard correlation-based definition of neutrality. ìVariance neutralityî, ìValue-at-Risk neutralityî and ìtail neutralityî all relate to the neutrality of the risk of the hedge fund to market risks. Finally, ìcomplete neutralityî corresponds to independence of the fund to market risks. We suggest sta- tistical tests for each neutrality concept, and apply the tests to a combined database of monthly ìmarket neutralî hedge fund returns from the HFR and TASS hedge fund databases. We find that around one-quarter of these funds exhibit some significant exposure to market risk. Keywords: diversification, alternative investments, correlation, portfolio decisions. J.E.L. Codes: G23, G11. ∗Helpful comments and suggestions were received from Vikas Agarwal, Carol Alexander, Ron Anderson, Andrew Ang, Giovanni Belossi, Greg Connor, Oliver Linton, Andrew Lo, Sophocles Mavroeidis, Narayan Naik, Burt Porter, Joshua Rosenberg, Chester Spatt, Bas Werker, Elliot Williams, and seminar participants at the 2004 European Finance Association meeting, Inquire UK, Aarhus School of Business, University of Amste