中国对冲基金评价体系构建及实证研究

发布时间：2018-01-03 04:43

本文关键词：中国对冲基金评价体系构建及实证研究　出处：《北京理工大学学报(社会科学版)》2016年03期 　论文类型：期刊论文

【摘要】：随着对冲基金产品的不断丰富,构建中国对冲基金评价体系已成为一个急需解决的热点课题。基于此,分类梳理了国内外学界及评级机构所研究的不同评级指标和方法,在此基础上结合中国对冲基金市场的发展特点,选取合适的评价指标,构建中国对冲基金评价体系,并以30只对冲基金为样本进行实证检验。结果发现:中国对冲基金在运作过程中表现出业绩持续性不稳定、选股择时能力不佳等问题。最后,提出中国对冲基金的发展对策建议,包括提高基金经理专业素质;加强对冲基金信息披露制度;加强监管,规范基金运作等。
[Abstract]:As the hedge fund products continue to enrich, to construct the evaluation system of Chinese hedge funds has become a hot topic in an urgent. Based on this classification, combing the different rating indicators and methods of domestic and foreign scholars and rating agencies, on the basis of combining the development features of China hedge fund market, select the appropriate index. Construction of the evaluation system of Chinese hedge fund, and 30 hedge funds for empirical tests. The results showed that the Chinese hedge funds during operation showed the persistence of performance is not stable, the problem of poor timing ability. Finally, put forward countermeasures and suggestions of the development of Chinese hedge funds, including fund managers to improve professional quality; strengthen hedge fund information disclosure system; strengthen supervision, standardize the operation of the fund.

【作者单位】：华南理工大学经济与贸易学院;
【基金】：教育部高校博士学科点专项科研基金新教师类资助项目(20120172120050) 广东省哲学社会科学“十二五”规划项目资助(GD13YGL05) 中央高校基本科研业务费专项资金资助项目(2015ZM086,2015KXKYJ01)
【分类号】：F832.51
【正文快照】： 自2004 年起, 信托投资计划的私募合法化为中国本土对冲基金的发展创造了条件,使阳光私募基金成为中国主要的对冲基金品种。阳光私募基金是通过信托公司发行的,投资于股票和债券等有价证券的基金,其不进行公开广告宣传,只面向少数特定的合格投资者发售, 投资决策包括股票量化

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