摘要翻译：
我们提出了一个投资策略收益的实证模型，阐明了非高斯特征（如时变波动率、非对称性和肥尾）在解释预期收益水平方面的重要性。利用前雷曼兄弟对冲基金指数数据对模型进行估计，我们证明了波动补偿是大多数策略风格预期收益的重要组成部分，这表明许多这些策略应该被认为是“短vol”。我们提出了一些基本和技术上的理由，说明为什么确实如此，并建议对表现出“长卷”特征的例外情况作出解释。最后总结了对冲基金投资组合构建的经验教训。
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英文标题：
《The Nature of Alpha》
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作者：
Arthur M. Berd
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We suggest an empirical model of investment strategy returns which elucidates the importance of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in explaining the level of expected returns. Estimating the model on the (former) Lehman Brothers Hedge Fund Index data, we demonstrate that the volatility compensation is a significant component of the expected returns for most strategy styles, suggesting that many of these strategies should be thought of as being `short vol'. We present some fundamental and technical reasons why this should indeed be the case, and suggest explanation for exception cases exhibiting `long vol' characteristics. We conclude by drawing some lessons for hedge fund portfolio construction.
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PDF链接：
https://arxiv.org/pdf/1112.1114