对冲基金绩效研究
发布时间：2018-09-08 18:28
【摘要】：作为国内资本市场的新生事物，，对冲基金越来越受到学者和研究机构的关注。目前国内对于对冲基金的研究主要侧重于法律规范层面，对绩效等方面的实证研究则较少涉及。本文对于不同策略对冲基金绩效的分析，从两个方面着手：一方面通过传统模型和加入流动性因素的模型，对于绩效影响因素进行解释；另一方面运用不同的检验方法，对国际上对冲基金的业绩持续性进行衡量。 本文共包括五个部分：第一部分为导论，该部分主要介绍本文的选题背景，研究意义，文献综述以及本文的创新之处。第二部分为研究模型及方法介绍。这部分首先介绍了对冲基金收益衡量指标，包括treynor比率，sharpe比率，jensen指标，M2指标，AP分解，以及对冲基金业绩回归模型，包括T-M模型，Fama-french三因素模型，Carhart四因素模型，Daniel Capocci，GeorgesHubner的混合模型，以及加入流动性因子的模型；接着介绍了检测收益持续性方法，包括双向表法，短期持续自相关和横截面回归法这几种国际常用的方法。第三部分是实证分析包括绩效影响因素分析和业绩持续性分析。本文通过选取2005-2010六个年度CS/Trement数据库中基金不同对冲策略的月度收益率，以及SP500月度收益率，美联储月度利率数据，Russell3000月度收益率，Moodyseasoned AaaBaa债券月度收益率等，基于创新性的收益回归模型进行实证分析。同时，对于对冲基金的业绩持续性，运用不同的方法加以研究。第四部分是国内对冲基金发展研究。这部分简述了于国内对冲基金发展现状，描述并介绍了国内几种主流的对冲基金业绩评级方法。第五部分是结论和政策建议。 通过实证检验，本文发现，在对冲基金绩效影响因素实证分析中，对于可转换套利、新兴市场、管理期货型、多重套利策略和股票放空型几个投资策略，流动性因素具有显著的解释效果，相对于传统模型而言，新模型的整体解释能力得到了进一步的提高，意味着当市场流动性非常好的时候，这两种策略的对冲基金会有更强的盈利能力。在对冲基金业绩持续性检验中，本文发现，采用不同的方法进行持续性检验，结果可能会出现不同，因为这些方法所采用的时间跨度和衡量指标均有不同程度的差异。在本文的实证检验中，只有新兴市场策略的对冲基金在任何一种检验方法下均不具有显著的业绩持续性。
[Abstract]:As a new thing in the domestic capital market, hedge funds are paid more and more attention by scholars and research institutions. At present, the domestic research on hedge funds mainly focuses on the level of legal norms, performance and other aspects of empirical research is less involved. This paper analyzes the performance of hedge funds with different strategies from two aspects: on the one hand, through the traditional model and the liquidity factor model, to explain the performance factors; on the other hand, using different test methods, Measure the sustainability of the performance of hedge funds internationally. This paper consists of five parts: the first part is the introduction, which mainly introduces the background, significance, literature review and innovation of this paper. The second part introduces the research model and methods. This part first introduces the index of hedge fund income measurement, including treynor ratio / sharpe ratio / M _ 2 index / M _ 2 index / AP decomposition, and hedge fund performance regression model, including T-M model / fama-french three-factor model / Carhart four-factor model / Capocci,GeorgesHubner mixed model. Then it introduces the methods of detecting earnings persistence, including bidirectional table method, short-term continuous autocorrelation method and cross-section regression method, which are commonly used in the world. The third part is empirical analysis, including performance impact factors analysis and performance sustainability analysis. This paper selects the monthly returns of different hedge strategies of funds in the CS/Trement database for the six years 2005-2010, as well as the monthly yield of SP500, the monthly interest rate data of the Federal Reserve Russell 3000 monthly yield and the monthly yield of modified seasoned AaaBaa bonds, etc. Empirical analysis based on innovative return regression model. At the same time, different methods are used to study the performance sustainability of hedge funds. The fourth part is the domestic hedge fund development research. This part briefly describes the development of hedge funds in China, describes and introduces several mainstream hedge fund performance rating methods. The fifth part is the conclusions and policy recommendations. Through empirical test, this paper finds that, in the empirical analysis of hedge fund performance factors, there are several investment strategies for convertible arbitrage, emerging market, management futures, multiple arbitrage and stock bearing-out. The liquidity factor has significant explanatory effect, compared with the traditional model, the overall interpretation ability of the new model has been further improved, which means that when the market liquidity is very good, Hedge funds with both strategies are more profitable. In the hedge fund performance persistence test, this paper finds that different methods of sustainability test may lead to different results, because the time span and measurement indicators used in these methods are different to different degrees. In the empirical test of this paper, only emerging market hedge funds do not have significant performance sustainability under any of the test methods.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
[Abstract]:As a new thing in the domestic capital market, hedge funds are paid more and more attention by scholars and research institutions. At present, the domestic research on hedge funds mainly focuses on the level of legal norms, performance and other aspects of empirical research is less involved. This paper analyzes the performance of hedge funds with different strategies from two aspects: on the one hand, through the traditional model and the liquidity factor model, to explain the performance factors; on the other hand, using different test methods, Measure the sustainability of the performance of hedge funds internationally. This paper consists of five parts: the first part is the introduction, which mainly introduces the background, significance, literature review and innovation of this paper. The second part introduces the research model and methods. This part first introduces the index of hedge fund income measurement, including treynor ratio / sharpe ratio / M _ 2 index / M _ 2 index / AP decomposition, and hedge fund performance regression model, including T-M model / fama-french three-factor model / Carhart four-factor model / Capocci,GeorgesHubner mixed model. Then it introduces the methods of detecting earnings persistence, including bidirectional table method, short-term continuous autocorrelation method and cross-section regression method, which are commonly used in the world. The third part is empirical analysis, including performance impact factors analysis and performance sustainability analysis. This paper selects the monthly returns of different hedge strategies of funds in the CS/Trement database for the six years 2005-2010, as well as the monthly yield of SP500, the monthly interest rate data of the Federal Reserve Russell 3000 monthly yield and the monthly yield of modified seasoned AaaBaa bonds, etc. Empirical analysis based on innovative return regression model. At the same time, different methods are used to study the performance sustainability of hedge funds. The fourth part is the domestic hedge fund development research. This part briefly describes the development of hedge funds in China, describes and introduces several mainstream hedge fund performance rating methods. The fifth part is the conclusions and policy recommendations. Through empirical test, this paper finds that, in the empirical analysis of hedge fund performance factors, there are several investment strategies for convertible arbitrage, emerging market, management futures, multiple arbitrage and stock bearing-out. The liquidity factor has significant explanatory effect, compared with the traditional model, the overall interpretation ability of the new model has been further improved, which means that when the market liquidity is very good, Hedge funds with both strategies are more profitable. In the hedge fund performance persistence test, this paper finds that different methods of sustainability test may lead to different results, because the time span and measurement indicators used in these methods are different to different degrees. In the empirical test of this paper, only emerging market hedge funds do not have significant performance sustainability under any of the test methods.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
【参考文献】
相关期刊论文 前10条
1 肖奎喜,杨义群;我国开放式基金业绩持续性的实证检验[J];财贸研究;2005年02期
2 郭放;;我国证券投资基金业绩评价及择时能力研究[J];哈尔滨商业大学学报(社会科学版);2010年06期
3 王聪;证券投资基金绩效评估模型分析[J];经济研究;2001年09期
4 汤震宇;林树;刘博;李翔;;基金经理业绩持续性实证研究[J];开放导报;2009年04期
5 蔡楠;流动性对股票收益率影响的实证研究——来自沪市A股市场的结果[J];内蒙古财经学院学报;2003年03期
6 李南成,谢国斌;基金业绩评价的现代方法[J];西南金融;2002年05期
7 谢赤,曾志坚;股票市场流动性溢价的实证研究[J];数量经济技术经济研究;2005年09期
8 王思为;;对我国开放式基金整体绝对业绩持续性的实证研究[J];现代经济(现代物业下半月刊);2007年03期
9 谭利;高泳波;;开放式股票基金业绩的实证研究与评价[J];西南师范大学学报(自然科学版);2006年04期
10 杨p
本文编号：2231337
本文链接：https://www.wllwen.com/guanlilunwen/zhqtouz/2231337.html
最近更新
教材专著
