Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10009295718
Persistent link: https://www.econbiz.de/10011408736
Persistent link: https://www.econbiz.de/10010221900
We document that the risks and pre-fee returns of broad hedge fund indices can be accurately matched with simple equity index put writing strategies, which provide monthly liquidity and complete transparency over their state-contingent payoff profiles. This nonlinear risk exposure combines with...
Persistent link: https://www.econbiz.de/10013072872
Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing strategies. We show that the...
Persistent link: https://www.econbiz.de/10013037723
We document that the risks and pre-fee returns of broad hedge fund indices can be accurately matched with simple equity index put writing strategies, which provide monthly liquidity and complete transparency over their state-contingent payoff profiles. This nonlinear risk exposure combines with...
Persistent link: https://www.econbiz.de/10012459019