在18世纪的医生中，为生理学，建立医学院，进行研究。现在，另一个新兴的职业正试图确定它，通过强调对科学的严格承诺来说，已经经历了启示：对冲基金经理正在向后现代产品组合理论的数量信条致敬。
Yet they exhibit a curiously schizophrenic attitude toward investing by the numbers. Asked "Do you use quantitative techniques?" fund-of-funds managers will reel off the fashionable quant approaches, such as Markowitz mean-variance optimization, scenario testing, Monte Carlo simulation and factor modeling. However, when pressed about which techniques they employ to construct portfolios, many will confess, sotto voce, that they don't rely on any of them -- although, to be sure, they find quant analyses profoundly illuminating.
一些资金基金会专家勇敢地探讨了栏杆上方的头部。基于苏黎世verwilghen，苏黎世的欧洲欧洲最大的对冲基金经理（资产：30亿美元）的欧洲欧洲欧洲局部定量研究负责人表示坦率地说：“我们将投资组合从自下而上奠定了在战略和经理中固有的风险和退货的定性视图。“对于定量技术，他们在识别风险和返回的来源方面发挥作用，以期望经理如何对市场变化以及对投资组合的影响建模。
并发症有很多未来的宽客之间的乐趣d-of-funds managers. "Let the data speak," cry quant purists. Trouble is, hedge fund data -- where it's available -- is about as pure as Wall Street slush in February. To begin with, a built-in survivorship bias can distort commercial databases of hedge fund performance. Last year Gaurav Amin and Harry Kat of the U.K.'s ISMA Centre at the University of Reading showed that only 59.5 percent of the hedge funds that existed in 1996 were still around five years later.
不太理解而且傅数据故障nd-of-funds managers is what Brian Singer, head of asset allocation and risk management at UBS Global Asset Management, calls "membership" bias. He outlines the problem: " A finance professor told me about one of his former students who had launched ten funds. One failed, three were good performers, and one of the three was an excellent performer but very risky. [The rest were mediocre.] So he closed all of the funds bar the two with the best risk-adjusted returns, and now the world thinks that this is his historical track record." Concludes Singer, "Historical data associated with hedge funds is all but meaningless unless you've gathered it yourself and know it is clean."
另一个数据混淆是平滑结果的平滑。这种对冲基金战略作为令人痛苦的证券，特殊情况，可转换套利和更具深奥的固定收入套件，涉及以广泛不同的出价价格投资非竞争证券。在市场错位的时候，投标可以完全消失。
Thus funds, which typically report performance every month, enjoy a fair degree of latitude to steady returns in between. "The presence of stale prices due to either illiquidity or managed pricing can artificially reduce estimates of volatility and correlation," concludes managing principal Clifford Asness and principals Robert Krail and John Liew of New Yorkbased AQR Capital Management in a study for Institutional Investor's投资组合管理杂志("Do Hedge Funds Hedge?" Fall 2001). Given most hedge funds' professed intention to produce consistent returns, it would be surprising if they didn't use smoothing to try to eliminate erratic, loss-making months.
Thus hedge fund data can be so corrupted that many quantitative techniques become extremely difficult to execute. Traditional optimization has "no value whatsoever," contends EIM's Verwilghen. "The danger is that you put information into a mean-variance optimizer and what you get out at the end is far worse than following an intuitive process. It would tend to systematically overweight dangerous funds."
Andrew Weisman，新推出的纽约对冲基金的风险管理负责人Strativarius首都，声称某些对冲基金战略，特别是波动性套利，可能是“无知”，也就是说，他们没有向投资组合管理人员提供线索技能。然而，许多古典的ARB资金只是倾向于表现出一致的返回的效率，直到它们爆炸 - 所以它们可能在优化过程中超值。
Weisman, who constructed hedge fund portfolios when he was CIO of Nikko Securities Co. International in New York, warns that feeding an optimizer poor data and interpreting the output uncritically can be disastrous (see "Dangerous Attractions: Informationless Investing and Hedge Fund Performance Measurement Bias,"投资组合管理杂志那Summer 2002).
基于伦敦的资助基金经理国际资产管理的研究负责人Jaakko Karki仍然会在评估对冲基金方面优化的作用，只要有足够的数据与之合作。但他超越了传统的平均方差方法。而不是依靠两个返回的输入和方差措施（如标准偏差），Karki Resorts到所谓的回报分布时刻：偏斜和峰氏症。平均方差优化假定返回呈现经典的钟形形状。歪斜的程度是尾巴的程度 - 左右的部分，射击到基本钟形式的侧面 - 射门到任一侧;kurtosis是曲线射击之前的陡峭。
Karki says that these two measures are critical because they capture absolute return -- the goal of fund-of-hedge-funds managers. The ideal distribution: a very short left tail with a large positive right-hand skew, indicating a marked tendency to produce positive returns. "We cannot make an assumption that [hedge fund] returns are normally distributed," says Karki. "But more to the point, we shouldn't make that assumption, because that is not the return distribution we are seeking."
UBS's Singer sees factor analysis as a more profitable avenue of quant research than optimization in whatever guise. In a UBS working paper ("The Appropriate Policy Allocation for Alternative Investments," October 2002; available at us.ubs-globalam.com), he, Kevin Terhaar and Renato Staub, UBS's executive director of asset allocation and strategy and director of asset allocation and strategy, respectively, set out to find a process for determining the optimal allocation to alternative assets. Starting out with the premise that similar assets should have the same fundamental economic drivers and risk factors, Singer ignores the historical performance of assets and instead calculates the risk and return characteristics of conventional versus alternative assets.
The result is a factor approach to apportioning assets among traditional and alternative investments that Singer says could be readily adapted to divvying up money among different types of hedge funds. Nevertheless, he emphasizes that even factor analysis should not be allowed to stand in for qualitative judgment: "If you relied solely on any quant approach, you would be torturing the data to conform to a spurious truth rather than getting to the reality of risks."
IAM's Karki performs a similar exercise in evaluating hedge funds. "In the absence of meaningful data," he says, "we try to construct portfolios by understanding their risk and return characteristics and then seeking to diversify those idiosyncratic risks away."
然而，尽管如此，对冲基金的定量分析是在可用数据的怜悯中，Strativarius的Weisman检测到对冲基金行业的不愿望通过提供更大的透明度来帮助讨厌Quants。“对冲基金被习惯于秘密，文化不会改变，”他说。亚慱体育app怎么下载“上帝发明了每月数据，所以对冲基金经理可以隐藏事物。”
Strativarius提供每周性能数据和详细的风险报告，但Weisman承认这一宏基金更容易，如他的高度流动性市场，例如外汇市场，而不是对于具有敏感的基金的基金。
此外，即使是最勤奋的定量研究也无法追溯到对冲基金经理可以做出几乎所有他们想要获得回报的事实。虽然大多数都坚持了广泛的策略，但是当机会出现时，资金可以走出他们的模板。例如，因为有很少的合并活动，一些并购套利资金正在冒险进入其他地区。
"Hedge fund managers may set sail into new waters every day if that is where the opportunity is," says EIM quant research chief Verwilghen. "People allocating money to hedge fund managers should spend more time getting to know the managers and less time worrying about the performance record."