2024-12-01-美联储-信贷供应与对冲基金业绩_来自主要经纪商调查的证据（英）_35页_367kb

Credit Supply from Prime Brokers and Hedge Fund Performance Analysis

Hedge funds rely heavily on prime brokers for financing, and fluctuations in credit availability significantly impact their leverage, borrowing, and subsequent performance. The study uses data from the Senior Credit Officer Opinion Survey (SCOOS) and regulatory filings (Form PF) to analyze the effects of prime brokers' credit supply changes on hedge fund operations.

The findings reveal that when prime brokers increase the availability of credit to their hedge fund clients, those funds subsequently raise their borrowing levels and achieve higher returns, both gross and net, compared to peers. This effect is particularly pronounced for funds with limited prime broker options or those primarily using borrowing rather than derivatives for leverage. The relationship between increased leverage and superior performance is amplified during periods of financial stress and abundant trading opportunities.

Moreover, the economic benefits of better credit access are reflected not only in higher gross returns but also in increased performance fees for funds and their managers. However, a portion of this improvement can be attributed to higher risk-taking, as evidenced by the rise in Sharpe ratios and CAPM alphas, though enhanced opportunities for alpha generation also play a significant role.

The study further demonstrates that hedge funds replace constrained borrowing sources with those offering greater leverage availability. This substitution effect is substantial among funds with fewer counterparty options. Additionally, leverage benefits appear contingent on past fund performance, as prime brokers allocate credit more readily to performing funds.

Regarding robustness, the results hold even when accounting for alternative measures of leverage availability and different performance assessment methods. Importantly, credit access differences contribute positively to performance persistence and alpha generation, supporting theories of heterogeneity in leverage constraints.

Conclusion:
The research concludes that prime broker credit supply has a material impact on hedge fund performance, highlighting constraints as a key determinant of returns. Funds experiencing higher credit availability exhibit superior leverage utilization, risk-adjusted returns, and fee generation, particularly during stressed markets and high-opportunity periods. The findings offer insights into how prime broker networks influence hedge fund strategies and contribute to existing literature on leverage and performance persistence.