对冲基金的资金可能实际上非常擅长采摘经理 - 只是不够克服他们收取的额外费用。
Purdue University的Krannert管理学院的研究人员和Loyola Marymount大学发现，资金资金显示“重大”的经理选择能力，其选择表现优于对冲基金行业，称研究上个月出版。
Purdue’s Chao Gao and Chengdong Yin and Loyola’s Tim Haight examined holdings data from funds of funds registered with the U.S. Securities and Exchange Commission between 2004 and 2015. They found that larger pools diversified over multiple styles are likely to have the best returns, but that having too many hedge-fund holdings could damage performance.
“这些结果提供了一些证据表明，对冲基金经理智能资金并分配更多的资产，以满足未来的未来绩效，”研究人员写道。
Still, hedge fund of funds performed poorly over the last decade, with HFRI’s fund-of-funds composite index returning a mean of just 4 basis points a month between 2008 and 2016. They’ve seen substantial outflows as a result, with industry assets under management collapsing to $360 billion by the end of 2016, from $1.2 trillion in 2007, according to the study, which cited BarclayHedge data.
[II深潜水：风险投资基金的资金在买断同行中有优势]
高，Haight和Yin说低回报不是经理选择差的结果，而是对基金资金投资者的双组费，他们必须在资金基金和基础投资上支付费用。
作者说，对冲基金经理的技能“显着”提高了费用。“我们的调查结果表明，对冲基金资金资金的任何余额更有可能受到对冲基金资金的双层费用结构的推动。
他们补充说，如何改善这种费用结构，是进一步研究的主题。