对冲基金投资策略在中国市场环境下的应用研究

发布时间：2018-03-29 13:23

本文选题：对冲基金　切入点：投资策略　出处：《上海交通大学》2013年硕士论文

【摘要】：随着国内股指期货和融资融券机制的推出，使得对冲基金的出现和发展成为可能。在今后一段时间里，中国的对冲基金将迎来大发展时期。对冲基金可以采用卖空的方法来对冲市场风险，投资策略丰富多样，，与传统投资的相关度低，能够满足投资人对于多元化投资和分散风险的要求。而对冲基金采用高杠杆的方式来扩大其投资收益，也使得投资回报相当可观。国外的对冲基金已经经过了数十年的发展，相对较为成熟，国内的对冲基金则刚刚起步，基于国内市场环境下的对冲基金相关研究较少。本文对对冲基金的概念、历史以及现状进行了阐述，详细地描绘了对冲基金的投资策略，介绍了中国在2010年推出的融资融券和股指期货，并利用融资融券和股指期货推出后中国市场上可获得的公开数据来进行实证研究，证明在中国市场的环境下，采用对冲基金策略可以对冲市场风险，使组合收益与市场走势有较低的相关度，有效降低了组合的总体风险。最后，对全文进行总结，并指出对冲基金在国内市场环境下遇到的一些限制，以及给出了改进的若干建议。
[Abstract]:With the introduction of domestic stock index futures and margin financing mechanism, the emergence and development of hedge funds is possible. Hedge funds can use short selling to hedge against market risk, with diverse investment strategies and low correlation with traditional investments. Hedge funds use a highly leveraged approach to expand their investment returns, which also makes their investment returns impressive. Foreign hedge funds have been developed for decades, relatively mature, domestic hedge funds are just beginning, based on the domestic market environment of hedge funds related research is less. This paper on the concept of hedge funds, The history and present situation are described, the investment strategy of hedge funds is described in detail, and the financing margin and stock index futures launched in China in 2010 are introduced. Using the open data available in the Chinese market after the introduction of margin and stock index futures, it is proved that the hedge fund strategy can hedge the market risk in the Chinese market environment. So that portfolio returns and market trends have a lower correlation, effectively reduce the overall portfolio risk. Finally, the paper summarizes the full text, and points out that hedge funds in the domestic market environment encountered some limitations, Some suggestions for improvement are also given.
【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】：F832.51

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