G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w19643
来源IDWorking 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
URLhttps://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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