| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19643 |
| 来源ID | Working Paper 19643 |
| The Cost of Capital for Alternative Investments | |
| Jakub W. Jurek; Erik Stafford | |
| 发表日期 | 2013-11-14 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | 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 large allocations, typical among investors in alternatives, to produce required rates of return that are more than twice as large as those implied by popular linear factor models. Despite earning annualized excess returns over 6% between 1996 and 2010, many hedge fund investors have not covered their proper cost of capital. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w19643 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577317 |
| 推荐引用方式 GB/T 7714 | Jakub W. Jurek,Erik Stafford. The Cost of Capital for Alternative Investments. 2013. |
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