融资融券和股指期货催生了中国真正的“对冲基金”吗?——来自“阳光私募”基金的证据
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财经研究 2014 年 第 40 卷第 09 期, 页码：73 - 85
摘要
参考文献
摘要
文章对比考察了融资融券和股指期货推出后出现的三种新型阳光私募与传统的股票策略阳光私募、共同基金和市场指数的绩效表现。研究发现:(1)相对价值和债券策略阳光私募明显优于传统投资工具和市场指数。前者具有"低风险-高收益"的良好性质,其表现尤为突出。(2)尽管事件驱动阳光私募具有较高风险,但是其收益指标优于传统投资工具和市场指数。(3)传统因子模型无法解释相对价值和债券策略阳光私募的绩效表现。文章研究表明,中国已经出现真正的"对冲基金"。
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1我国的“阳光私募”基金按投资者结构可分为结构化和非结构化两类。其中,结构化产品将投资者分为“优先”和“劣后”两类。优先投资者享受固定收益或固定收益加一定的浮动收益,劣后投资者则承担基金亏损的全部风险。若盈利,在支付前者约定收益后,基金剩余收益归后者所有。因此,结构化产品无法反映基金真正的投资收益。非结构化产品的所有投资者则共担风险并共享收益,其历史收益率可以反映基金的实际投资收益。鉴于此,本文仅考察非结构化阳光私募。
[2]莱比腾.对冲基金手册[M].陈道轮,邵俊丽,译.上海:上海交通大学出版社,2014.
[3]郦金梁,雷曜,李树憬.市场深度、流动性和波动率——沪深300股票指数期货启动对现货市场的影响[J].金融研究,2012,(6):124-138.
[4]杨阳,万迪昉.股指期货真的能稳定市场吗?[J].金融研究,2010,(12):146-158.
[5]Agarwal V,Naik N Y.Risks and portfolio decisions involving hedge funds[J].Review of Financial Studies,2004,17(1):63-98.
[6]Aiken A L,Clifford C P,Ellis J.Out of the dark:Hedge fund reporting biases and commercial databases[J].Review of Financial Studies,2013,26(1):208-243.
[7]Aragon G O,Martin J S.A unique view of hedge fund derivatives usage:Safeguard or speculation?[J].Journal of Financial Economics,2012,105(2):436-456.
[8]Asness C,Krail R,Liew J.Do hedge funds hedge?Be cautious in analyzing monthly returns[J].Journal of Portfolio Management,2001,28(1):6-19.
[9]Baquero G,Verbeek M.Survival,look-ahead bias,and persistence in hedge fund performance[J].Journal of Financial and Quantitative Analysis,2005,40(3):493-517.
[10]Chen Y,Liang B.Do market timing hedge funds time the market?[J].Journal of Financial and Quantitative Analysis,2007,42(4):827-856.
[11]Fama E F,Macbeth J D.Risk,return,and equilibrium:Empirical tests[J].Journal of Political Economy,1973,81(3):607-636.
[12]Fung W,Hsieh D A.Empirical characteristics of dynamic trading strategies:The case of hedge funds[J].Review of Financial Studies,1997a,10(2):275-302.
[13]Fung W,Hsieh D A.Survivorship bias and investment style in the returns of CTAs[J].Journal of Portfolio Management,1997b,24(1):30-41.
[14]Fung W,Hsieh D A.Performance characteristics of hedge funds and commodity funds:Natural vs.Spurious biases[J].Journal of Financial and Quantitative Analysis,2000,35(3):291-307.
[15]Fung W,Hsieh D A.The risk in hedge fund strategies:Theory and evidence from trend followers[J].Review of Financial Studies,2001,14(2):313-341.
[16]Fung W,Hsieh D A.Risk in fixed-income hedge fund styles[J].Journal of Fixed Income,2002,12(2):6-27.
[17]Fung W,Hsieh D A.Extracting portable alphas from equity long-short hedge funds[J].Journal of Investment Management,2004a,2(4):1-19.
[18]Fung W,Hsieh D A.Hedge fund benchmarks:A risk-based approach[J].Financial Analysts Journal,2004b,60(5):65-80.
[19]Getmansky M,Lo A W,Makarov I.An econometric model of serial correlation and illiquidity in hedge fund returns[J].Journal of Financial Economics,2004,74(3):529-609.
[20]Jagannathan R,Malakhov A,Novikov D.Do hot hands exist among hedge fund managers?An empirical evaluation[J].Journal of Finance,2010,65(1):217-255.
[21]Jones A W.Fashions in forecasting[J].Fortune,1949,March:11.
[22]Kosowski R,Naik N Y,Teo M.Do hedge funds deliver alpha?A Bayesian and bootstrap analysis[J].Journal of Financial Economics,2007,84(1):229-264.
[23]Liang B.Hedge funds:The living and the dead[J].Journal of Financial and Quantitative Analysis,2000,35(3):309-326.
[24]Liang B.The accuracy of hedge fund returns-Auditing makes a real difference[J].Journal of Portfolio Management,2003,29(3):111-122.
[25]Loomis C J.The Jones nobody keeps up with[J].Fortune,1966,April:4.
[26]Newey W K,West K D.Hypothesis testing with efficient method of moments estimation[J].International Economic Review,1987,28(3):777-787.
[27]Sharpe W F.Asset allocation[J].Journal of Portfolio Management,1992,18(2):7-19.
[28]Titman S,Tiu C.Do the best hedge funds hedge?[J].Review of Financial Studies,2011,24(1):123-168.
1我国的“阳光私募”基金按投资者结构可分为结构化和非结构化两类。其中,结构化产品将投资者分为“优先”和“劣后”两类。优先投资者享受固定收益或固定收益加一定的浮动收益,劣后投资者则承担基金亏损的全部风险。若盈利,在支付前者约定收益后,基金剩余收益归后者所有。因此,结构化产品无法反映基金真正的投资收益。非结构化产品的所有投资者则共担风险并共享收益,其历史收益率可以反映基金的实际投资收益。鉴于此,本文仅考察非结构化阳光私募。
引用本文
陈道轮, 陈强, 徐信喆, 等. 融资融券和股指期货催生了中国真正的“对冲基金”吗?——来自“阳光私募”基金的证据[J]. 财经研究, 2014, 40(9): 73–85.
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