文章基本信息

标题：Alternative Alphas from Hedge Fund ETF Speculation
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作者：Peter C. L. Lin
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2016
卷号：06
期号：01
页码：34-42
DOI：10.4236/jmf.2016.61004
语种：English
出版社：Scientific Research Publishing
摘要：Alternative alpha represents risk-adjust absolute return of an alternative investing instrument regressed on alternative risk factors. Over the years, the definition is extended to the absolute return generated from alternative asset speculation-long-only or long-short strategy on alternative assets to generate additional return on top of existence alpha. In this article, we examine and propose a model with state-dependent stochastic differential equations based on Gaussian mixture model and multi-class Gaussian-kernel support vector machine to analyze hedge fund ETF alpha. We provide a new type of long-short speculation which trades on hedge fund strategies. This long-short alternative portfolio is build based on a Sharpe-ratio-like alpha ratio optimization program, and the historical performance from the portfolio shows statistically significant improvement adding to existing alphas. For passive investors, the portfolio also yields a simple portable alpha strategy which outperforms the S&P 500 benchmark return by 7.8% since 2012.
关键词：Alternative ETFs;Index Investing;Hedge Fund Strategies;Quantitative Portfolio Management