报 告 人：Prof. Lee Mick Swartz
工作单位：美国南加州大学金融学系 (University of Southern California)
This lecture will introduce a study that has four contributions to the literature. First, it analyzes the risk characteristics for 11 HFRX Global Macro hedge fund strategies. Second, the study introduces three families of factors, the D family, the L family, and the R family. These new factors assume investors use historical data from each hedge fund category to assess the risk. This historical information, when included with asset pricing models, is more powerful in explaining hedge fund returns than previous models. Third, using a pool of 20 macroeconomic variables, this study provides evidence that researchers should expand their use of other macroeconomic factors in their analyses of hedge fund returns. According to SIC criterion, the Global Macro category results for the Behavioral Model, the Macroeconomic Model, and the Combination Models outperform the Fung and Hsieh (2004) seven-factor model in all 11 strategies. Fourth, unlike the previous literature, these strategy-specific generated models are corrected for time-series assumptions violations and heteroscedasticity and are more parsimonious and efficient than the Fung-Hsieh seven-factor model in all 11 strategies.