从收益来源角度对对冲基金投资选择的研究
摘要
国际间资本流动限制的取消，各国资本市场监管的放松，使全球的对冲基金行业迅速发展。随着我国资本市场的进一步发展和完善，可供投资和融资的产品会越来越丰富，这将为对冲基金在我国的发展提供生长的土壤。可以预见，在不久的将来，对冲基金这一备择投资工具将出现在我国的资本市场，参与和运用对冲基金这种投资工具的投资者将越来越多。
我国绝大多数投资者并不熟悉对冲基金。投资者在选择不同类型的对冲基金时，仅仅依靠传统的投资评估方法和经验是不够的。贸然的做出选择，必然面临着极大的亏损可能性，进一步可能引发众多纠纷和激发各种异常风险。因此，了解并正确运用这种投资工具已成为现实的迫切要求。
本文以对冲基金的收益来源为出发点，旨在研究投资者如何在众多的对冲基金中做出投资选择的问题。文章内容分为五章，第一章阐述了研究的基础理论和前人相关的研究成果；第二章介绍了对冲基金的历史与现状，说明了其主要特点，并与共同基金的业绩进行对比分析；第三章先从“基于资产的类型要素模型”引出对冲基金的收益来源，继而对对冲基金收益的两个主要来源——类型要素和经理技能加以分析，从投资者的角度阐述了不同类型的对冲基金的判别标准，并且针对基金经理的技能，从定性和定量的角度给出了识别方法；第四章探讨了对冲基金在我国的监管思路和发展前景；最后一章强调了研究结论，并说明了研究的不足之处。
With the cancellation of the limitations on capital flows between countries and the loosening of supervision on countries’ capital markets, the global industry of hedge fund is developing quickly. With the development and improvement of China’s capital market, there are more and more investment and financing vehicles, which creates best climate for hedge fund. We can expect that in the near future hedge fund will show up in our country’s capital market as an alternative investment, and that more and more investors will use this kind of investment vehicle.
Most of Chinese investors are unfamiliar with hedge fund. When investors are choosing among different types of hedge funds, their experiences and skills in investment evaluation are not enough. If they make decisions imprudently, it is probable that they will make big loss. Therefore, we need understand and know how to take advantage of it in the right way.
The thesis researches on how investors choose between many types of hedge funds, by making use of past returns of hedge funds. The contents can be divided into five chapters. In the first chapter, the writer illustrates the basic theories and previous research achievements. In the second chapter, the writer introduces hedge funds’ history, status and main characteristics, and compares their returns with that of mutual funds. In the third chapter, the writer introduces asset-based hedge fund style factors model, and explains the sources of returns of hedge funds by the model. Then the writer analyzes the two main sources and illustrates the selection benchmarks respectively. In the fourth chapter the writer discusses the supervisions on hedge fund and its future in Chinese market. In the last chapter the writer draws conclusions.
我国绝大多数投资者并不熟悉对冲基金。投资者在选择不同类型的对冲基金时，仅仅依靠传统的投资评估方法和经验是不够的。贸然的做出选择，必然面临着极大的亏损可能性，进一步可能引发众多纠纷和激发各种异常风险。因此，了解并正确运用这种投资工具已成为现实的迫切要求。
本文以对冲基金的收益来源为出发点，旨在研究投资者如何在众多的对冲基金中做出投资选择的问题。文章内容分为五章，第一章阐述了研究的基础理论和前人相关的研究成果；第二章介绍了对冲基金的历史与现状，说明了其主要特点，并与共同基金的业绩进行对比分析；第三章先从“基于资产的类型要素模型”引出对冲基金的收益来源，继而对对冲基金收益的两个主要来源——类型要素和经理技能加以分析，从投资者的角度阐述了不同类型的对冲基金的判别标准，并且针对基金经理的技能，从定性和定量的角度给出了识别方法；第四章探讨了对冲基金在我国的监管思路和发展前景；最后一章强调了研究结论，并说明了研究的不足之处。
With the cancellation of the limitations on capital flows between countries and the loosening of supervision on countries’ capital markets, the global industry of hedge fund is developing quickly. With the development and improvement of China’s capital market, there are more and more investment and financing vehicles, which creates best climate for hedge fund. We can expect that in the near future hedge fund will show up in our country’s capital market as an alternative investment, and that more and more investors will use this kind of investment vehicle.
Most of Chinese investors are unfamiliar with hedge fund. When investors are choosing among different types of hedge funds, their experiences and skills in investment evaluation are not enough. If they make decisions imprudently, it is probable that they will make big loss. Therefore, we need understand and know how to take advantage of it in the right way.
The thesis researches on how investors choose between many types of hedge funds, by making use of past returns of hedge funds. The contents can be divided into five chapters. In the first chapter, the writer illustrates the basic theories and previous research achievements. In the second chapter, the writer introduces hedge funds’ history, status and main characteristics, and compares their returns with that of mutual funds. In the third chapter, the writer introduces asset-based hedge fund style factors model, and explains the sources of returns of hedge funds by the model. Then the writer analyzes the two main sources and illustrates the selection benchmarks respectively. In the fourth chapter the writer discusses the supervisions on hedge fund and its future in Chinese market. In the last chapter the writer draws conclusions.
引文
[1]平狄克 鲁宾菲尔德 《微观经济学》中国人民大学出版社 2000年9月第1版
[2]斯特凡诺.拉维尼奥 《对冲基金手册：分析和评估不同投资的权威性指南》中国财政经济出版社 2001年1月第1版
[3]约翰.马歇尔 维普尔.班赛尔 《金融工程》 清华大学出版社 1998年7月第1版
[4]查尔斯.W.史密森 《管理金融风险 衍生产品、金融工程和价值最大化管理》中国人民大学出版社 2000年1月第3版
[5]宋逢明 《金融工程原理－无套利均衡分析》 清华大学出版社 1999年10月第1版
[6]威廉 F.夏普 《投资组合理论与资本市场》 机械工业出版社 2001年4月版
[7]乔治.索罗斯 《金融炼金术》 海南出版社 1999年第1版
[8]李永胜 马飞 《索罗斯和全球金融危机》 辽宁人民出版社 1998年第1版
[9]厉以宁著 《中国资本市场发展的理论与实践》 北京大学出版社 1998年第1版
[10] 刘乃岳 周爱民 《风险对冲策略与套利技巧》 经济科学出版社 1999第一版
[11]George Van “Quantitative Analysis of Hedge Fund Return/Risk Characteristics”
http://www.vanhedge.com/bookchpt.html
[12] Richard Brealey and Evi Kaplanis “Changes in the factor exposures of hedge funds”http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Working_Papers/working_papers.html
[13] Vikas Agarwal and Narayan Naik “Performance evaluation of hedge funds with option-based and buy-and-hold strategies” http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Working_Papers/working_papers.html
[14] George Van “The Smartest Way to Invest in Hedge Fund” http://www.hedgefund.com/smartest/smartest.htm
[15] Thomas Becker “Exploring the Mathematical Background of Return-Based Style Analysis” in The Handbook of Equity Style Mana gement, Third Edition,2003
[16]Thomas Schneewis and Richard Spurgin “Multi-factor models in managed futures, Hedge Fund and Mutual Fund Return Estimation” http://www.tradefactory.com/articles/Multnew1.PDF
[17]Maha Soueissy and Rami Sidani “The Risks Underlying Hedge Funds Strategies” http://www.hec.unil.ch/mbf/Participants/Master_Thesis/Master_s_thesis_Sidani-Soueissy.pdf
[18]Ross Barry “An alternatives test of Manager skill” http://www.cmbf.mq.edu.au/MAFCpapers/paper27.pdf
[19]William Fung and David A. Hsieh “Asset-Based Styles and Portfolio Diversification” Financial Analyst Journal,October,2001
[20]Van Hedge Fund Advisors International “Funding Growth” World Finance,Autumn 2000
[21] William F. Sharpe “Asset allocation: Management Style and Performance Measurement” The Journal of Portfolio Management Winter，1992
[22] William F. Sharpe “Determining a Fund’s Effective Asset Mix” Investment Management Review December，1998
[2]斯特凡诺.拉维尼奥 《对冲基金手册：分析和评估不同投资的权威性指南》中国财政经济出版社 2001年1月第1版
[3]约翰.马歇尔 维普尔.班赛尔 《金融工程》 清华大学出版社 1998年7月第1版
[4]查尔斯.W.史密森 《管理金融风险 衍生产品、金融工程和价值最大化管理》中国人民大学出版社 2000年1月第3版
[5]宋逢明 《金融工程原理－无套利均衡分析》 清华大学出版社 1999年10月第1版
[6]威廉 F.夏普 《投资组合理论与资本市场》 机械工业出版社 2001年4月版
[7]乔治.索罗斯 《金融炼金术》 海南出版社 1999年第1版
[8]李永胜 马飞 《索罗斯和全球金融危机》 辽宁人民出版社 1998年第1版
[9]厉以宁著 《中国资本市场发展的理论与实践》 北京大学出版社 1998年第1版
[10] 刘乃岳 周爱民 《风险对冲策略与套利技巧》 经济科学出版社 1999第一版
[11]George Van “Quantitative Analysis of Hedge Fund Return/Risk Characteristics”
http://www.vanhedge.com/bookchpt.html
[12] Richard Brealey and Evi Kaplanis “Changes in the factor exposures of hedge funds”http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Working_Papers/working_papers.html
[13] Vikas Agarwal and Narayan Naik “Performance evaluation of hedge funds with option-based and buy-and-hold strategies” http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Working_Papers/working_papers.html
[14] George Van “The Smartest Way to Invest in Hedge Fund” http://www.hedgefund.com/smartest/smartest.htm
[15] Thomas Becker “Exploring the Mathematical Background of Return-Based Style Analysis” in The Handbook of Equity Style Mana gement, Third Edition,2003
[16]Thomas Schneewis and Richard Spurgin “Multi-factor models in managed futures, Hedge Fund and Mutual Fund Return Estimation” http://www.tradefactory.com/articles/Multnew1.PDF
[17]Maha Soueissy and Rami Sidani “The Risks Underlying Hedge Funds Strategies” http://www.hec.unil.ch/mbf/Participants/Master_Thesis/Master_s_thesis_Sidani-Soueissy.pdf
[18]Ross Barry “An alternatives test of Manager skill” http://www.cmbf.mq.edu.au/MAFCpapers/paper27.pdf
[19]William Fung and David A. Hsieh “Asset-Based Styles and Portfolio Diversification” Financial Analyst Journal,October,2001
[20]Van Hedge Fund Advisors International “Funding Growth” World Finance,Autumn 2000
[21] William F. Sharpe “Asset allocation: Management Style and Performance Measurement” The Journal of Portfolio Management Winter，1992
[22] William F. Sharpe “Determining a Fund’s Effective Asset Mix” Investment Management Review December，1998
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |