1.了解对冲基金和其他智能货币

1.1：选择与时序

1.2：偏见

1.3：对冲基金与共同基金

����𝑘����𝑥）= 15％。活跃的共同基金有一个

𝑐𝑜𝑣（𝜀�，𝑟�
����𝑘����𝑥）= 0，因此它对股票指数的beta是1。

a）对冲基金的波动幅度是多少？
b）对冲基金的beta是多少？
c）对冲基金的费用前Alpha值是多少（根据共同基金的Alsti-

d）假设一个投资者有40美元投资到了活跃基金中，并且有60美元是现金（按计量

1. Understanding Hedge Funds and Other Smart Money

1.1: Selection vs. Timing
Explain the meanings of market timing and security selection, highlighting their similarities
and differences.

1.2: Biases
You work as an analyst at a discretionary equity hedge fund. You have the investment thesis
that it pays to buy the “best in breed”, that is, stocks that are the industry leaders. You find
the companies that are currently the largest in each industry and track their performance the
last 5 years. This portfolio significantly outperforms the market over the time period.

Are there any issues with this analysis? Should the hedge fund buy this portfolio and, if so, what
are the risks?

1.3: Hedge funds vs. mutual funds
Consider a passive mutual fund, an active mutual fund, and a hedge fund. The mutual funds
claim to deliver the following gross returns:

The stock index has a volatility of √𝑣𝑎𝑟(𝑟 �
����𝑘 ����𝑥) = 15%. The active mutual fund has a
tracking error with a mean of 𝐸(𝜀�) = 0, a volatility of √𝑣𝑎𝑟(𝜀�) = 3.5%, and
𝑐𝑜𝑣(𝜀�, 𝑟�
����𝑘 ����𝑥) = 0 such that it’s beta to the stock index is 1. The passive fund charges an
annual fee of 0.10% and the active mutual fund charges a fee of 1.20%.

The hedge fund uses the same strategy as the active mutual fund to identify “good” and “bad”
stocks, but implements the strategy as a long-short hedge fund, applying 4 times leverage. The
risk-free interest rate is 𝑟𝑓 = 1% and the financing spread is zero (meaning that borrowing and
lending rates are equal). Therefore, the hedge fund’s return before fees is

a) What is the hedge fund’s volatility?
b) What is the hedge fund’s beta?
c) What is the hedge fund’s alpha before fees (based on the mutual fund’s alpha esti-
mate)?
d) Suppose that an investor has \$40 invested in the active fund and \$60 in cash (measured
in thousands, say). What investments in the passive fund, the hedge fund, and cash