tailieunhanh - Managed Futures, Hedge Fund and Mutual Fund Return Estimation: A Multi-Factor Approach

For the purpose of this review, green bonds are broadly defined as fixed-income debt securities issued (by governments, multi-national banks or corporations) in order to raise the necessary capital for a project which contributes to a low carbon, climate resilient economy. To date, these have been issued predominantly as AAA-rated securities by the World Bank and other development banks and some other entities in order to raise capital specifically for climate change and green growth related projects. Though generally offering these bonds with the same interest rate as other instruments, and with the same credit rating, ring-fencing the financing. | Managed Futures Hedge Fund and Mutual Fund Return Estimation A Multi-Factor Approach Thomas Schneeweis Richard Spurgin Professor of Finance University of Massachusetts Assistant Professor of Finance Clark University The author s would like to thank the Managed Futures Association for their support in this research. The results of this study however represents the conclusions of the authors and do not necessarily reflect the opinions of various MFA members. Managed Futures Hedge Fund and Mutual Fund Return Estimation A Multi-Factor Approach Abstract The past five years have witnessed a dramatic increase in managed futures products whose managers commodity trading advisors trade primarily in futures and options markets and which are available to the retail public as well as in hedge funds whose managers invest in both cash and futures markets simultaneously and which are structured primarily for pool investment and not for public sale. Despite this growth funds invested in managed futures and hedge fund products are estimated to be less than 1 of the over 3 trillion dollar mutual fund industry. One reason for the relatively small percentage invested in managed futures or hedge fund vehicles is that little published research exists on the determinants of managed futures and hedge fund expected performance. However while extensive literature exists on theoretical and empirical models of return expectation for stock and bonds little academic research has directly tested for the underlying factors which explain managed futures and hedge fund return. In this paper various factors chosen to capture managed futures and hedge fund trading styles and investment markets are used to explain managed futures and hedge fund performance. Similar tests are run on portfolios of traditional stock and bond funds in order to evaluate the relative explanatory power of the multiple factor models. Results indicate that for the managed futures hedge fund and mutual fund portfolios a set of

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