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Catégorie :Category: nCreator TI-Nspire
Auteur Author: 2B9877U
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 2.85 Ko KB
Mis en ligne Uploaded: 07/04/2025 - 15:25:22
Uploadeur Uploader: 2B9877U (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4566844
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 2.85 Ko KB
Mis en ligne Uploaded: 07/04/2025 - 15:25:22
Uploadeur Uploader: 2B9877U (Profil)
Téléchargements Downloads: 1
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4566844
Description
Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
<<
INTRODUCTION: HEDGE FUND RETURNS AND THE UNCORRELATED IDEAL The appeal of absolute-return strategies for diversification Real-world data often shows higher correlations thanexpected WHY HEDGE FUND STRATEGIES OFTEN MOVE IN TANDEM 2.1 Overlapping Risk Factors: Different strategies, shared vulnerability (liquidity,market sentiment, credit spreads), Spike in correlations during crises 2.2 The Paradox of Pure Alpha : Many strategies rely on alternative betas (systematicexposures), Looks like alpha in stable markets, but reveals beta understress FACTOR MODELS AND HEDGE FUND RISK 3.1 Traditional vs. Alternative Betas Hedge funds load on specialized factors (carry, momentum,volatility) Alpha shrinks after accounting for these alternative betas 3.2 Merger Arbitrage Example Appears market-neutral but can behave like a short put onequity deals Suffers large drawdowns if deals collapse in a downturn EMPIRICAL FINDINGS ON HEDGE FUND CORRELATIONS 4.1 Observed Correlation in Indexes Various hedge fund categories often show moderate positivecorrelations Shared dependencies (liquidity, credit conditions) 4.2 During Stress Periods, Correlation Rises Forced selling drives simultaneous losses Correlation spikes despite seemingly different strategies ALTERNATIVE RISK PREMIA (ARP) AND LIQUID ALTS 5.1 The ARP Concept Systematic factors (value, momentum, carry) beyond standardequity/bond beta Liquid alts offer rule-based, lower-fee exposure 5.2 ARP vs. Traditional Hedge Funds Lower fees, more transparency ARP captures systematic risk; alpha must exceed these factorexposures CHALLENGES AND LIMITATIONS OF FACTOR MODELS 6.1 Non-Linearities Derivatives create tail risks, regime shifts in crises Simple regressions can miss big drawdowns 6.2 Non-Stationarity and Overfitting Market relationships change over time Strategies adapt and can become crowded 6.3 Beta vs. Alpha Drift Genuine alpha can erode as more capital chases the sameinefficiency THE 2008 CRISIS AND BEYOND: A LESSON IN COMMON EXPOSURES Widespread hedge fund losses revealed embedded credit andliquidity risks Post-crisis shift in hedge fund marketing from absolutereturns to risk-adjusted returns to smart beta ARP strategies also vulnerable under extreme market stress PRACTICAL TAKEAWAYS FOR INVESTORS High correlation across hedge funds is common in downturns Beware hidden betas (merger arb, fixed-income arb as shortvolatility ) ARP can replicate many hedge fund exposures at lower cost Factor models have limits; alpha remains rare and mustjustify high fees Made with nCreator - tiplanet.org
>>
Compatible OS 3.0 et ultérieurs.
<<
INTRODUCTION: HEDGE FUND RETURNS AND THE UNCORRELATED IDEAL The appeal of absolute-return strategies for diversification Real-world data often shows higher correlations thanexpected WHY HEDGE FUND STRATEGIES OFTEN MOVE IN TANDEM 2.1 Overlapping Risk Factors: Different strategies, shared vulnerability (liquidity,market sentiment, credit spreads), Spike in correlations during crises 2.2 The Paradox of Pure Alpha : Many strategies rely on alternative betas (systematicexposures), Looks like alpha in stable markets, but reveals beta understress FACTOR MODELS AND HEDGE FUND RISK 3.1 Traditional vs. Alternative Betas Hedge funds load on specialized factors (carry, momentum,volatility) Alpha shrinks after accounting for these alternative betas 3.2 Merger Arbitrage Example Appears market-neutral but can behave like a short put onequity deals Suffers large drawdowns if deals collapse in a downturn EMPIRICAL FINDINGS ON HEDGE FUND CORRELATIONS 4.1 Observed Correlation in Indexes Various hedge fund categories often show moderate positivecorrelations Shared dependencies (liquidity, credit conditions) 4.2 During Stress Periods, Correlation Rises Forced selling drives simultaneous losses Correlation spikes despite seemingly different strategies ALTERNATIVE RISK PREMIA (ARP) AND LIQUID ALTS 5.1 The ARP Concept Systematic factors (value, momentum, carry) beyond standardequity/bond beta Liquid alts offer rule-based, lower-fee exposure 5.2 ARP vs. Traditional Hedge Funds Lower fees, more transparency ARP captures systematic risk; alpha must exceed these factorexposures CHALLENGES AND LIMITATIONS OF FACTOR MODELS 6.1 Non-Linearities Derivatives create tail risks, regime shifts in crises Simple regressions can miss big drawdowns 6.2 Non-Stationarity and Overfitting Market relationships change over time Strategies adapt and can become crowded 6.3 Beta vs. Alpha Drift Genuine alpha can erode as more capital chases the sameinefficiency THE 2008 CRISIS AND BEYOND: A LESSON IN COMMON EXPOSURES Widespread hedge fund losses revealed embedded credit andliquidity risks Post-crisis shift in hedge fund marketing from absolutereturns to risk-adjusted returns to smart beta ARP strategies also vulnerable under extreme market stress PRACTICAL TAKEAWAYS FOR INVESTORS High correlation across hedge funds is common in downturns Beware hidden betas (merger arb, fixed-income arb as shortvolatility ) ARP can replicate many hedge fund exposures at lower cost Factor models have limits; alpha remains rare and mustjustify high fees Made with nCreator - tiplanet.org
>>
