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Hedge Fund Managers¡¯ Quadratic Moderation of the VIX to One-Month Prior PTFSIR Returns: A Conditional Process Modeling to Hedge Fund Market Timing Behavior Per Investment Styles

  • Joung Keun Cho Client Portfolio Analytics to Green Shoots Capital Investment Solutions Korea U.S. Tax Advisor to Sellymon.com Assistant Professor of Finance, School of Business, Seokyeong University
´Ù¾çÇÑ ÇìÁöÆÝµå ½ºÅ¸ÀÏ Áö¼öÀÇ 2003 ³â 1 ¿ùºÎÅÍ 2016 ³â 12 ¿ù±îÁö ¿ù°£ÀÚ·á ºÐ¼®À» ÅëÇØ, ƯÁ¤½ºÅ¸ÀÏ ÇìÁöÆݵå (emerging market ¹× equity long-short)¿¡¼­ Àü¿ù ´Ü±âÀÌÀÚÀ²½ÃÀå Æ®·»Æ®ÃßÁ¾Çü¿äÀÎ (PTFSIR)Àº Á÷Àü¿ù CBOE VIX Áö¼ö º¯È­·® Á¶Àýº¯¼ö¿¡ µû¶ó ±× Á¶°ÇºÎ È¿°ú°¡ Åë°èÀûÀ¸·Î À¯ÀÇÇÑ È¿°ú¸¦ È®ÀÎÇÏ¿´´Ù. º» ¿¬±¸´Â Emerging Market, Equity Long-Short, Fund of Hedge Funds, Global Macro, Multi-Strategies, ¹× commodity trading advisors µî Barclays ÇìÁöÆÝµå ½ºÅ¸ÀÏÁö¼ö¿¡ ´ëÇÑ Conditional Process Model °ú Factor Risk Model ºÐ¼®À» °áÇÕÇÑ Æ¯Â¡À» °¡Áø´Ù. ƯÈ÷, ´ç¿ù ÇìÁöÆݵåÁö¼ö ¼º°ú¿¡ ¿µÇâÀ» ÁÖ´Â ¿äÀÎÀ¸·Î¼­ Àý´ëÀûÀÎ ¿µÇâÀ» Çà»çÇÏ´Â ´ç¿ù ½ÃÀåÃÊ°ú¼öÀÍ·üÀ» Á¦¿Ü½ÃÅ°°í Á÷Àü¿ùÀÇ ´Ü±âÀÌÀÚÀ²½ÃÀå Æ®·»Æ®ÃßÁ¾Çü¿äÀÎ ¹× Á÷Àü¿ùÀÇ ÁֽĽÃÀå ³»À纯µ¿¼ºÁö¼öÀÇ ¿ù°£ º¯È­·®À» µ¿½Ã¿¡ °í·ÁÇÒ ¼ö ÀÖ´Â ´Ü¼øÇÑ ÇüÅÂÀÇ Á¶ÀýÈ¿°ú (Moderation) ¸ðÇüÀ» ±¸¼ºÇÏ¿©, ±âÁ¸ ¼±Çü¸ðÇü ´ëºñ ÇìÁöÆÝµå ¸Å´ÏÀúÀÇ Á÷Àü¿ùÀÇ ½ÃÀå¸ð¸àÅÒ, Á÷Àü¿ù VIX Áö¼öÀÇ ¿ù°£ º¯È­·® Á¤º¸ÀÇ ¼ÒÈ­¸¦ ÅëÇÑ À§ÇèÀÚ»ê Exposure ÀÇ Tilting Process ¸¦ ÃßÁ¤ÇÏ¿´´Ù. º» ¿¬±¸´Â Behavioral Science ¿¡¼­ ³Î¸® È°¿ëµÇ´Â 1 °³ ¶Ç´Â ±× ÀÌ»óÀÇ Á¶Àýº¯¼ö°¡ Á¸ÀçÇÏ´Â °æ¿ìÀÇ Conditional Process Model °ú ÅõÀںм®¿¡ È°¿ëµÇ´Â Factor Risk Model À» °áÇÕÇÏ¿© ±Û·Î¹ú ÇìÁöÆÝµå ½Ã°è¿­ÀÚ·á¿¡ Àû¿ëÇÏ´Â ÃÖÃÊÀÇ ½Ãµµ¸¦ ÅëÇØ ½ÃÀåÀ§Çè¿äÀÎÀÇ ´Ù¾çÇÑ ÇìÁöÆÝµå ½ºÅ¸ÀÏ Áö¼öºÐ¼®¿¡¼­ Liquid Alternative Hedge Fund Collection Pool ·Î ½ÇÁúÀûÀÎ ºÐ¼®À» È®ÀåÇÏ´Â Moderation È¿°úÀÇ º¯È­¿¡ ´ëÇÑ °ËÁõÀ» Manager ÀÇ Factor-Tilting Activity ¿¡ ´ëÇÑ Adaptive Modeling Framework À» ÅëÇØ Á¦½ÃÇÑ´Ù. Á¶ÀýµÈ °ú°Å ´Ü±âÀÌÀÚÀ²½ÃÀå Æ®·»Æ®ÃßÁ¾¿äÀÎÀÇ ¿ù°£ VIX º¯È­·® Á¶ÀýÈ¿°ú ºÐ¼® °á°ú, ÇìÁöÆݵå´Â ±× ÅõÀÚ½ºÅ¸ÀϺ°·Î ÆÝµå ¸Å´ÏÀú°¡ ´Ü±âÀÌÀÚÀ² Æ®·»µå ¿äÀο¡ ±Ù°ÅÇÑ À§ÇèÀÚ»ê Exposure Á¶Àý¿¡¼­ ÁֽĽÃÀå ³»À纯µ¿¼º º¯È­·® Á¤º¸¸¦ Process ÇÏ´Â Á¤µµ°¡ »óÀÌÇÏ¿´À¸¸ç, ÀÌ´Â ½ºÅ¸ÀϺ° Factor- Controlled Alpha Decay ¿Í º¯µ¿¼º ¸Å°³È¿°úÀÇ °ü°è¸¦ ±Ô¸íÇÔÀ¸·Î½á ÀϺΠȮÀÎÀÌ °¡´ÉÇÏ¿´´Ù.

ÇìÁöÆÝµå ¸Å´ÏÀúÀÇ °ú°Å PTFSIR ¿äÀο¡ ´ëÇÑ °ú°Å VIX º¯È­·®ÀÇ Á¶ÀýÈ¿°úºÐ¼® : ÇìÁöÆÝµå ½ºÅ¸ ÀϺ° Market Timing ÇàÅÂÀÇ Á¶°ÇºÎ Á¶Àý È¿°ú ¸ðÇü ¿¬±¸

  • Joung Keun Cho
One-month prior return of primitive trend following strategy on the short-term interest rate (PTFSIR)¡¯s a direct effect on the current performance of certain hedge fund investment styles depends quadratically on the size of the returns of one-month prior Chicago Board of Options Exchange implied volatility index (¡°VIX¡±) as a moderator. This manuscript advances the quantitative behavioral science literature by applying financial timeseries for estimating and making inferences about the conditional process model with a moderator. Consistent with our view that hedge funds exhibit different levels of skills in exploiting the information contents of equity implied volatilities, we document substantial heterogeneity of processing one-month prior quadratic volatility returns by altering their risky asset exposures across hedge fund investment styles. We subsequently apply the same analytical framework to three different collections of individual liquid alternative hedge funds to test if a primitive trend following strategy on the short-term interest rates¡¯ effect on hedge fund strategy returns is linearly moderated by the volatilities of the returns of one-month prior VIX and the corresponding hedge funds¡¯ dynamic risky asset and factor exposure management implications.
Hedge Funds,Market Timing,Conditional Moderation Effect,Factor Timing