国内对冲策略FOF基金实证研究及创设

发布时间：2018-05-08 04:38

本文选题：对冲基金 + 对冲策略　；参考：《上海交通大学》2013年硕士论文

【摘要】：对冲基金在国际上尤其是欧美已经发展了很多年，而在中国对冲策略的运用还处于起步阶段。随着中国金融业的快速发展、金融创新的推进、金融衍生品的进一步丰富，中国对冲基金的快速发展将是大势所趋。本文论述了在国内对冲基金以及金融创新大发展的背景下，，设立对冲策略基金FOF的必要性，对对冲策略FOF的投资理念、配置策略以及基金选择的方法等进行了理论和实证的论述。本文以国内对冲基金的实证数据为基础，运用上述方法初步选出4只传统股票型私募基金和3只对冲策略私募基金，构建了模拟组合。该FOF组合在实证数据测试中绩表现突出，同时风险收益比相对较高，能够在很大程度上达到设立对冲策略基金FOF的目的。
[Abstract]:Hedge funds have been developed internationally, especially in Europe and the United States for many years, and the use of hedge strategies in China is still in its infancy. With the rapid development of China's financial industry, the promotion of financial innovation, the further enrichment of financial derivatives, the rapid development of Chinese hedge funds will be the general trend. Under the background of the development of domestic hedge funds and financial innovation, this paper discusses the necessity of setting up hedge strategy fund FOF, and the investment concept of hedge strategy FOF. The allocation strategy and the method of fund selection are discussed theoretically and empirically. Based on the empirical data of domestic hedge funds, this paper preliminarily selects four traditional equity private equity funds and three hedge strategy private equity funds by using the above method, and constructs a simulation combination. The performance of the FOF portfolio is outstanding in the empirical data test, and the risk-return ratio is relatively high, which can achieve the purpose of setting up the hedge strategy fund FOF to a great extent.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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