Opacity, Risk, Performance and Inflows in Hedge Funds

Abstract This article analyzes the relationship between opaque assets and the risks, returns and inflows of hedge funds. In particular, we use a unique dataset containing information required by a Brazilian regulator to evaluate the amount invested by funds in forward and future contracts, swaps and options in the context of qualified and non-qualified investors. Our results show a positive association between the positions in derivatives and the variations in risk and a negative association between derivatives (especially swaps) and the funds' monthly performances. This means that the use of more derivatives is related to higher risk (total and systematic) without the benefit of higher return. Hedge funds adopting leveraged operations with derivatives also present a lower annual performance. In general, there is significant evidence that swaps are related to fund inflows in a negative way with regard to qualified and non-qualified investors.

摘要：本文分析了不透明资产与对冲基金（hedge funds）的风险、收益及资金流入之间的关联关系。具体而言，本研究采用一套独特的数据集，该数据集包含巴西监管机构要求提供的相关信息，用于核算基金在合格与非合格投资者场景下投资于远期合约、期货合约、掉期（swaps）与期权（options）的金额。研究结果显示，衍生品（derivatives）头寸与风险波动呈正相关关系；而衍生品（尤其是掉期）与基金月度业绩呈负相关关系。这意味着，更多使用衍生品会推高基金的总体风险与系统性风险，却无法获得更高的收益。采用衍生品杠杆操作的对冲基金，其年度业绩同样偏低。总体而言，有显著证据表明，无论针对合格投资者还是非合格投资者，掉期的使用均与基金资金流入呈负相关关系。