This paper uses a higher moment capital asset pricing model to characterize the returns of several types of hedge fund indices. The quantile regression approach is used to test for any possible changes in the coefficients of the model. The hypothesis that the parameters are stable across the distribution of returns is tested and rejected. The most stable coefficient is the second moment (beta) coefficient. The higher moment coefficients vary considerably. Alpha returns tend to be positive and significant at the center of the distribution. The importance of higher co-moments (i.e., co-skewness and co-kurtosis) is more prevalent at the tails of the distribution of returns suggesting that there are significant tail risks. These findings could potentially have important implications for portfolio strategies and performance evaluation.

中文翻译：

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更高的共同矩 CAPM 和对冲基金回报

本文使用更高矩的资本资产定价模型来表征几种类型的对冲基金指数的回报。分位数回归方法用于测试模型系数的任何可能变化。检验并拒绝参数在收益分布中稳定的假设。最稳定的系数是二阶矩 (beta) 系数。较高的力矩系数变化很大。在分布的中心，Alpha 回报往往是正的且显着。较高的共同矩（即共同偏度和共同峰度）的重要性在回报分布的尾部更为普遍，这表明存在显着的尾部风险。这些发现可能对投资组合策略和绩效评估具有重要意义。