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论文编号：	7538
作者编号：	2120132413
上传时间：	2015/6/11 23:07:05
中文题目：	我国对冲基金评级研究 ——基于修正夏普业绩的方法
英文题目：	Research of Hedge Fund Rating: Based on Modified Sharpe Performance
指导老师：	黄福广
中文关键字：	夏普业绩；条件夏普业绩；拟合夏普业绩；条件拟合夏普业绩；对冲基金评级
英文关键字：	Sharpe performance；conditional Sharpe performance；fitted Sharpe Performance；conditional fitted Sharpe performance；hedge fund rating
中文摘要：	与共同基金相比，对冲基金有其特殊性。首先，大多数的对冲基金采取动态投资策略，而且允许进行卖空交易；其次，对冲基金的投资者往往不仅仅只投资一只对冲基金，大多会同时投资其他投资工具。所以仅仅用共同基金的评级方法来对对冲基金评级是不准确的，可能会误导投资者。 基于对冲基金的特殊性，本文定义了一组夏普业绩指标，包括历史夏普业绩、条件夏普业绩、拟合夏普业绩、条件拟合夏普业绩。历史夏普业绩即传统的夏普业绩，基于基金的历史收益计算得到；条件夏普业绩加入了投资者考虑的信息，主要包括股票市场收益和债券市场收益，分别用滞后一期沪深300指数超额收益和滞后一期中债---新综合指数（以下简称“中债指数”）超额收益分别代表股票市场和债券市场的收益；拟合业绩考虑了投资者的投资组合，如果投资者没有其他的投资，则只需要根据单一业绩来选取投资的基金，如果投资者已经持有了一定的资产（基准组合），则投资者需要根据增量夏普业绩（即拟合夏普业绩）来判断基金的优劣，条件拟合业绩同时考虑了信息效应和拟合效应。本文选取2012年1月至2014年12月连续存续36个月的50只对冲基金的月收益数据，分别计算每一只基金的一系列业绩指标并进行排名，并对每一组夏普业绩指标值采用聚类分析对样本基金进行评级。 研究发现，使用不同的业绩指标，计算得到的夏普业绩可能不一样，业绩排名也不一样，得到的评级结果也会不一样，投资者应该综合各个业绩指标考虑其联合效应，以避免基金公司的业绩操纵。基于条件拟合夏普业绩的基金评级对投资者有尤为重要的四大优势。首先，可理解性：夏普业绩指标与共同基金业绩的标准指标一致，并且被零售投资者所熟知；其次，可比较性：即使数字结果是是根据不同的假设得到的，投资者也可以比较他们；第三，易于计算：基金评级所依据的夏普业绩根据回归分析得到，容易计算；第四，实用性：投资者可以很容易地将这些业绩指标运用在对冲基金的最优组合的设计中。最后，投资者可以使用一系列夏普业绩指标来对所有的基金进行评级，将具有同质性的基金归为同一级基金。
英文摘要：	Compared with mutual funds, hedge funds have their own peculiarities. first, most hedge funds use highly dynamic investment strategies, can have short sell. second, hedge fund investors tend to invest more than just one hedge fund, they may invest in other investment instruments. So applying mutual fund rating methodologies to hedge funds is inaccurate, which may mislead investors. In this paper, We define a battery of Sharpe performance measures, which include historical Sharpe performance, conditional Sharpe performance, fitted Sharpe performance, conditional fitted Sharpe performance. Historical Sharpe performance relies on historical return data. Conditional Sharpe performance consider the information considered by investors: the stock market returns and the bond market returns, which are represented by The CSI 300 index lagged returns and China's bond index lagged returns. Fitted Sharpe performance consider the potential use of the hedge fund by the investor. If without other investments, investors only need to choose hedge funds according to single performance; however , if investors had certain assets (benchmark portfolio), they need to according to the incremental Sharpe performance (i.e., fitted Sharpe performance) to compare hedge funds. Conditional fitted Sharpe performance captures both information effect and fitted aspect. This paper selects monthly returns of 50 hedge funds, which were consecutive 36-month survival from January 2012 to December 2014. We calculate a battery of Sharpe performance measures of each fund and rank the sample hedge funds with these performance indicators We also use cluster analysis to get homogeneous segments of hedge funds. We get different segmentation based on different Sharpe performances. This study finds that different performance indicators used to calculate Sharpe performance may lead to different results, different performance ratings, and different segments. Considering jointly several performance measures avoid largely the possibility of manipulation. Four advantages of Sharpe performance based rating are especially important for the investor. First,Comprehensibility. the performance measures correspond to the standard measures used for mutual funds and known by retail investors. Second, Comparability. we can compare the numerical results, even if they are obtained with different assumptions. Third, Easily calculated. the rankings are based on regression analysis and easy to compute. Fourth, Practicability. we can easily use these performance measures in the design of an optimal basket of hedge funds. Finally, we can use the performance measures to partition the set of funds into homogeneous segments.
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