本文選題：對(duì)沖基金 + 對(duì)沖策略��； 參考：《暨南大學(xué)》2013年碩士論文

【摘要】：2010年我國(guó)推出了融資融券與股指期貨，投資機(jī)構(gòu)開始將做空機(jī)制加入投資組合或新產(chǎn)品中，市場(chǎng)中性型產(chǎn)品迅速增加并有出色表現(xiàn)。 通過(guò)規(guī)范分析法，本文首先分析市場(chǎng)中性策略的基本原理及收益風(fēng)險(xiǎn)特征，，進(jìn)而分析市場(chǎng)中性策略在我國(guó)應(yīng)用的必要性和可行性，再介紹該策略在我國(guó)的應(yīng)用現(xiàn)狀和三種主要應(yīng)用機(jī)構(gòu)的情況。 實(shí)證分析方面，本文搜集了我國(guó)近兩年的每周數(shù)據(jù)，運(yùn)用收益評(píng)價(jià)方法、相關(guān)性檢驗(yàn)和T-M模型、H-M模型、C-L模型進(jìn)行實(shí)證分析。結(jié)果顯示，第一，目前市場(chǎng)中性策略產(chǎn)品的收益一般，部分能在弱市中能夠跑贏市場(chǎng)指數(shù)并獲得一定絕對(duì)正收益，而在強(qiáng)勢(shì)行情中無(wú)法超越市場(chǎng)指數(shù)，盈利能力不高；第二，大部分樣本產(chǎn)品收益率與市場(chǎng)指數(shù)收益率存在較低的相關(guān)性，說(shuō)明市場(chǎng)中性策略在一定程度上發(fā)揮出了在規(guī)避市場(chǎng)影響方面的效果。第三，詹森指數(shù)模型和三個(gè)管理能力評(píng)估模型對(duì)部分產(chǎn)品的分析顯示確實(shí)有產(chǎn)品的擇時(shí)能力比較欠缺，即控制產(chǎn)品的市場(chǎng)風(fēng)險(xiǎn)能力較差。 本文最后得出的結(jié)論是，市場(chǎng)中性策略在我國(guó)的應(yīng)用剛剛起步，市場(chǎng)中性策略無(wú)法充分發(fā)揮出作用，策略效果只有部分顯現(xiàn)出來(lái)�；谶@種現(xiàn)狀，本文提出一些簡(jiǎn)要的建議并總結(jié)了本文的不足之處及未來(lái)發(fā)展方向。
[Abstract]:In 2010, China introduced margin financing and stock index futures, and investment institutions began to add short selling mechanism to portfolio or new products. Market neutral products increased rapidly and showed outstanding performance. Through normative analysis, this paper first analyzes the basic principle of market neutral strategy and the characteristics of profit risk, and then analyzes the necessity and feasibility of market neutral strategy application in China. The present situation of the application of the strategy in China and the situation of the three main application organizations are also introduced. In the aspect of empirical analysis, this paper collects the weekly data of our country in recent two years, uses the income evaluation method, the correlation test and the T-M model to carry on the empirical analysis with the H-M model and the C-L model. The results show that, first, at present, the return of market neutral strategy products is general, some of them can outperform the market index and obtain a certain absolute positive return in the weak market, while in the strong market they cannot surpass the market index, so their profitability is not high; second, There is a low correlation between the return rate of most sample products and the return rate of market index, which indicates that the market neutral strategy plays an important role in evading the market influence to a certain extent. Thirdly, the analysis of Jensen index model and three management ability evaluation models on some products shows that there is a lack of timing ability of some products, that is, the market risk control ability of products is poor. The conclusion of this paper is that the application of market neutral strategy in our country is just beginning, the market neutral strategy can not play a full role, and the effect of the strategy is only partially apparent. Based on this situation, this paper puts forward some brief suggestions and summarizes the shortcomings and future development direction of this paper.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

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