Making a Bet at a Right Time : Style and Volatility Timing Abilities of Korean Equity Hedge Funds
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
Korean hedge funds are institutionalized active investment strategies formed by the registered special private collective investment vehicles managed by Korean fund managers with leverage allowed up to 400% of the net asset value. Since the very first Korean equity hedge fund was launched on December 28, 2011, there are 549 different funds with varying strategies and aggregate assets under management at KRW11.5 trillion, equivalent to USD10 billion, as of July 24, 2017. Many hedge fund managers believe they are skilled at stock picking and market timing. If an active hedge fund manager is skilled in style timing, it makes sense to be particularly active in the volatile phase of the specific style factor, as the phase offers a largest risk-adjusted reward to the skill. We have investigated risk factor exposures such as size, value, and momentum in 25 survivorship bias-free individual equity hedge funds with net asset value aboveKRW50 billion out of the 549 universe to reclassify them according to their systematic style-tilting volatility, volatility-timing, and Treynor and Mazuy (1966) market timing indicators. To the best of the authors’ knowledge, it is the first research of hedge fund strategies to use daily net asset value data of individual hedge funds. We then evaluated the relationship between the three market-timing indicators to the annual excess returns of reclassified quintile hedge fund groups to identify the truly talented active style and volatility timers. Identification of the talented market and volatility timer a priori will enhance the investors’ expected risk-adjusted returns in the fund of hedge funds design and investment.
Abstract
Korean hedge funds are institutionalized active investment strategies formed by the registered special private collective investment vehicles managed by Korean fund managers with leverage allowed up to 400% of the net asset value. Since the very first Korean equity hedge fund was launched on December 28, 2011, there are 549 different funds with varying strategies and aggregate assets under management at KRW11.5 trillion, equivalent to USD10 billion, as of July 24, 2017. Many hedge fund managers believe they are skilled at stock picking and market timing. If an active hedge fund manager is skilled in style timing, it makes sense to be particularly active in the volatile phase of the specific style factor, as the phase offers a largest risk-adjusted reward to the skill. We have investigated risk factor exposures such as size, value, and momentum in 25 survivorship bias-free individual equity hedge funds with net asset value aboveKRW50 billion out of the 549 universe to reclassify them according to their systematic style-tilting volatility, volatility-timing, and Treynor and Mazuy (1966) market timing indicators. To the best of the authors’ knowledge, it is the first research of hedge fund strategies to use daily net asset value data of individual hedge funds. We then evaluated the relationship between the three market-timing indicators to the annual excess returns of reclassified quintile hedge fund groups to identify the truly talented active style and volatility timers. Identification of the talented market and volatility timer a priori will enhance the investors’ expected risk-adjusted returns in the fund of hedge funds design and investment.
참고문헌 (25)
- Anson, M., "Building a Hedge Fund Portfolio with Kurtosis and Skewness", Journal of Alternative Investments, 10(1) (2007)
- Burghardt, G., "Autocorrelation Effects on CTA and Equity Risk Measurement", Journal of Alternative Investments, (Summer) (2013)
- Carhart, M. M., "On persistence in mutual fund performance", Journal of Finance, 52, pp.57~82 (1997)
- Chen, Y., "Do market timing hedge funds time the market", Journal of Financial and Quantitative Analysis, 42, pp.827~856 (2007)
- 조정근, "The VKOSPI Spread as a forward-looking Short-Term Dynamic Asset Allocation Indicator", 경제연구, 34(2), pp.173~205 (2016), 한국경제통상학회
- 조정근, "Qualified Korean Investors’Liquid Alternative Global Hedge Fund Investing under Autocorrelation Effects", 경제연구, 35(2), pp.53~74 (2017), 한국경제통상학회
- Fama, E., "Size, Value and Momentum in International Stock Returns", Journal of Financial Economics, 10(3), pp.457~472 (2012)
- Fung, W., "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers", Review of Financial Studies, 14(2), pp.313~341 (2001)
- Getmansky, M., "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns", Journal of Financial Economics, 74, pp.529~609 (2004)
- Goetzmann, W., "Monthly measurement of daily timers", Journal of Financial and Quantitative Analysis, 35, pp.257~290 (2000)
- Goldwhite, P., "Diversification and Risk Management: What Volatility Tells Us", Journal of Investing, 18(3), pp.40~48 (2009)
- Henriksson, R., "On market timing and investment performance II. Statistical procedures for evaluating forecasting skills", Journal of Business, 54, pp.513~533 (1981)
- Jensen, Greg, "Hedge Fund Selling Beta as Alpha", Bridgewater Daily Observations, June 17, 2003, ~ (2003)
- Kazemi, Hossein, "Market Timing of CTAs: An Examination of Systematic CTAs vs. Discretionary CTAs", Journal of Futures Market, 29(11) (2009)
- 송성주, "수익률 기반 스타일 분석을 이용한 국내 주식형 펀드의 스타일 지속성 검증", 응용통계연구, 23(5), pp.783~797 (2010), 한국통계학회
- Dynamic Style Analysis and Applications, "Markov, M.", ~ (2004)
- McCarthy, David, "Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long", Short Funds, 2014, pp.(Winter), ~
- Merton, R., "On market timing and investment performance I: An equilibrium theory of value of market forecasts", Journal of Business, 54, pp.363~407 (1981)
- Mlandina, P., "Illuminating Hedge Fund Returns to Improve Portfolio Construction", Journal of Portfolio Management, (Spring) (2015)
- Shawky, H. A., "Liquidity Risk and Economics of Scale in Funds of Hedge Funds", Journal of Alternative Investments, (Fall) (2014)
- Titman, S., "Do the Best Hedge Funds Hedge?", Review of Financial Studies, 24(1), pp.123~168 (2011)
- Treynor, J., "Can mutual funds outguess the market?", Harvard Business Review, 44, pp.131~136 (1966)
- Sharpe, W.F., "Asset Allocation: Management Style and Performance Measurement", Journal of Portfolio Management, 7(19) (1992)
- Sun, Z., "The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance", Review of Financial Studies, 25(1), pp.96~143 (2012)
- Can Mutual Funds Time Investment Styles?, "Swinkels, Laurens", Erasmus University, ~ (2006)