Financial Analysts Journal · VOL70,NO. 5· SEPTEMBER/OCTOBER 2014

现金流量，价格压力和对冲基金回报

作者：Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen

摘要：作者研究资本流量如何影响对冲基金的回报率，发现在资金流动的月份中，高资本流入对冲基金的回报率跑赢了高资本流出对冲基金的回报率。这种即时反映，同时结合了反馈交易，产生了一个循环：现金流对价格形成压力，回报率受到影响引起更多现金流变化，新产生的现金流变化又对价格造成更大压力。这个循环强大到需要两年的时间才可以完全恢复逆转，这有助于对对冲基金绩效的可观测持续性。现金流量对回报率的影响有意义于绩效评价：对冲基金所估计出的阿尔法有三分之一来自于资金流动。

Flows, Price Pressure, and Hedge Fund Returns

Katja Ahoniemi and Petri Jylha

ABSTRACT

The authors studied how capital flows affect hedge fund returns and found that funds with high inflows outperform funds with high outflows during the month of the flows. This immediate reaction, combined with feedback trading, gives rise to a cycle: Flows exert price pressure, this effect on returns induces more flows, and these flows cause further price pressure. The cycle is so strong that it takes two years for a full return reversal, and it contributes to the observed persistence in hedge fund performance. The impact of flows on returns has clear implications for performance evaluation: One-third of estimated hedge fund alphas are due to flows.

原文链接：

http://www.cfapubs.org/doi/abs/10.2469/faj.v70.n5.1

翻译：王冰伦