【摘要】：作為國(guó)內(nèi)資本市場(chǎng)的新生事物，，對(duì)沖基金越來(lái)越受到學(xué)者和研究機(jī)構(gòu)的關(guān)注。目前國(guó)內(nèi)對(duì)于對(duì)沖基金的研究主要側(cè)重于法律規(guī)范層面，對(duì)績(jī)效等方面的實(shí)證研究則較少涉及。本文對(duì)于不同策略對(duì)沖基金績(jī)效的分析，從兩個(gè)方面著手：一方面通過(guò)傳統(tǒng)模型和加入流動(dòng)性因素的模型，對(duì)于績(jī)效影響因素進(jìn)行解釋；另一方面運(yùn)用不同的檢驗(yàn)方法，對(duì)國(guó)際上對(duì)沖基金的業(yè)績(jī)持續(xù)性進(jìn)行衡量。 本文共包括五個(gè)部分：第一部分為導(dǎo)論，該部分主要介紹本文的選題背景，研究意義，文獻(xiàn)綜述以及本文的創(chuàng)新之處。第二部分為研究模型及方法介紹。這部分首先介紹了對(duì)沖基金收益衡量指標(biāo)，包括treynor比率，sharpe比率，jensen指標(biāo)，M2指標(biāo)，AP分解，以及對(duì)沖基金業(yè)績(jī)回歸模型，包括T-M模型，F(xiàn)ama-french三因素模型，Carhart四因素模型，Daniel Capocci，GeorgesHubner的混合模型，以及加入流動(dòng)性因子的模型；接著介紹了檢測(cè)收益持續(xù)性方法，包括雙向表法，短期持續(xù)自相關(guān)和橫截面回歸法這幾種國(guó)際常用的方法。第三部分是實(shí)證分析包括績(jī)效影響因素分析和業(yè)績(jī)持續(xù)性分析。本文通過(guò)選取2005-2010六個(gè)年度CS/Trement數(shù)據(jù)庫(kù)中基金不同對(duì)沖策略的月度收益率，以及SP500月度收益率，美聯(lián)儲(chǔ)月度利率數(shù)據(jù)，Russell3000月度收益率，Moodyseasoned AaaBaa債券月度收益率等，基于創(chuàng)新性的收益回歸模型進(jìn)行實(shí)證分析。同時(shí)，對(duì)于對(duì)沖基金的業(yè)績(jī)持續(xù)性，運(yùn)用不同的方法加以研究。第四部分是國(guó)內(nèi)對(duì)沖基金發(fā)展研究。這部分簡(jiǎn)述了于國(guó)內(nèi)對(duì)沖基金發(fā)展現(xiàn)狀，描述并介紹了國(guó)內(nèi)幾種主流的對(duì)沖基金業(yè)績(jī)?cè)u(píng)級(jí)方法。第五部分是結(jié)論和政策建議。 通過(guò)實(shí)證檢驗(yàn)，本文發(fā)現(xiàn)，在對(duì)沖基金績(jī)效影響因素實(shí)證分析中，對(duì)于可轉(zhuǎn)換套利、新興市場(chǎng)、管理期貨型、多重套利策略和股票放空型幾個(gè)投資策略，流動(dòng)性因素具有顯著的解釋效果，相對(duì)于傳統(tǒng)模型而言，新模型的整體解釋能力得到了進(jìn)一步的提高，意味著當(dāng)市場(chǎng)流動(dòng)性非常好的時(shí)候，這兩種策略的對(duì)沖基金會(huì)有更強(qiáng)的盈利能力。在對(duì)沖基金業(yè)績(jī)持續(xù)性檢驗(yàn)中，本文發(fā)現(xiàn)，采用不同的方法進(jìn)行持續(xù)性檢驗(yàn)，結(jié)果可能會(huì)出現(xiàn)不同，因?yàn)檫@些方法所采用的時(shí)間跨度和衡量指標(biāo)均有不同程度的差異。在本文的實(shí)證檢驗(yàn)中，只有新興市場(chǎng)策略的對(duì)沖基金在任何一種檢驗(yàn)方法下均不具有顯著的業(yè)績(jī)持續(xù)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.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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